English

Parabolic Fractal Geometry of Stable L\'evy Processes with Drift

Probability 2024-07-16 v2

Abstract

We explicitly calculate the Hausdorff dimension of the graph and range of an isotropic stable L\'{e}vy process XX plus deterministic drift function ff. For that purpose we use a restricted version of the genuine Hausdorff dimension which is called the parabolic Hausdorff dimension. It turns out that covers by parabolic cylinders are optimal for treating self-similar processes, since their distinct non-linear scaling between time and space geometrically matches the self-similarity of the processes. We provide explicit formulas for the Hausdorff dimension of the graph and the range of X+fX+f. In sum the parabolic Hausdorff dimension of the drift term ff alone contributes to the Hausdorff dimension of X+fX+f. Further, we derive some formulas and bounds for the parabolic Hausdorff dimension.

Keywords

Cite

@article{arxiv.2312.13800,
  title  = {Parabolic Fractal Geometry of Stable L\'evy Processes with Drift},
  author = {Peter Kern and Leonard Pleschberger},
  journal= {arXiv preprint arXiv:2312.13800},
  year   = {2024}
}