English

The spans in Brownian motion

Probability 2017-07-25 v2

Abstract

For d{1,2,3}d \in \{1,2,3\}, let (Btd; t0)(B^d_t;~ t \geq 0) be a dd-dimensional standard Brownian motion. We study the dd-Brownian span set Span(d):={ts; Bsd=Btd \mboxforsome 0st}Span(d):=\{t-s;~ B^d_s=B^d_t~\mbox{for some}~0 \leq s \leq t\}. We prove that almost surely the random set Span(d)Span(d) is σ\sigma-compact and dense in R+\mathbb{R}_{+}. In addition, we show that Span(1)=R+Span(1)=\mathbb{R}_{+} almost surely; the Lebesgue measure of Span(2)Span(2) is 00 almost surely and its Hausdorff dimension is 11 almost surely; and the Hausdorff dimension of Span(3)Span(3) is 12\frac{1}{2} almost surely. We also list a number of conjectures and open problems.

Keywords

Cite

@article{arxiv.1506.02021,
  title  = {The spans in Brownian motion},
  author = {Steven N. Evans and Jim Pitman and Wenpin Tang},
  journal= {arXiv preprint arXiv:1506.02021},
  year   = {2017}
}

Comments

33 pages, 4 figures. This paper is published by http://projecteuclid.org/euclid.aihp/1500624032

R2 v1 2026-06-22T09:48:13.151Z