English

Uniform dimension results for fractional Brownian motion

Probability 2017-09-05 v3 Classical Analysis and ODEs

Abstract

Kaufman's dimension doubling theorem states that for a planar Brownian motion {B(t):t[0,1]}\{\mathbf{B}(t): t\in [0,1]\} we have P(dimB(A)=2dimA for all A[0,1])=1,\mathbb{P}(\dim \mathbf{B}(A)=2\dim A \textrm{ for all } A\subset [0,1])=1, where dim\dim may denote both Hausdorff dimension dimH\dim_H and packing dimension dimP\dim_P. The main goal of the paper is to prove similar uniform dimension results in the one-dimensional case. Let 0<α<10<\alpha<1 and let {B(t):t[0,1]}\{B(t): t\in [0,1]\} be a fractional Brownian motion of Hurst index α\alpha. For a deterministic set D[0,1]D\subset [0,1] consider the following statements: (A)P(dimHB(A)=(1/α)dimHA for all AD)=1,(A) \quad \mathbb{P}(\dim_H B(A)=(1/\alpha) \dim_H A \textrm{ for all } A\subset D)=1, (B)P(dimPB(A)=(1/α)dimPA for all AD)=1,(B) \quad \mathbb{P}(\dim_P B(A)=(1/\alpha) \dim_P A \textrm{ for all } A\subset D)=1, (C)P(dimPB(A)(1/α)dimHA for all AD)=1.(C) \quad \mathbb{P}(\dim_P B(A)\geq (1/\alpha) \dim_H A \textrm{ for all } A\subset D)=1. We introduce a new concept of dimension, the modified Assouad dimension, denoted by dimMA\dim_{MA}. We prove that dimMADα\dim_{MA} D\leq \alpha implies (A), which enables us to reprove a restriction theorem of Angel, Balka, M\'ath\'e, and Peres. We show that if DD is self-similar then (A) is equivalent to dimMADα\dim_{MA} D\leq \alpha. Furthermore, if DD is a set defined by digit restrictions then (A) holds iff dimMADα\dim_{MA} D\leq \alpha or dimHD=0\dim_H D=0. The characterization of (A) remains open in general. We prove that dimMADα\dim_{MA} D\leq \alpha implies (B) and they are equivalent provided that DD is analytic. We show that (C) is equivalent to dimHDα\dim_H D\leq \alpha. This implies that if dimHDα\dim_H D\leq \alpha and ΓD={EB(D):dimHE=dimPE}\Gamma_D=\{E\subset B(D): \dim_H E=\dim_P E\}, then P(dimH(B1(E)D)=αdimHE for all EΓD)=1.\mathbb{P}(\dim_H (B^{-1}(E)\cap D)=\alpha \dim_H E \textrm{ for all } E\in \Gamma_D)=1. In particular, all level sets of BDB|_{D} have Hausdorff dimension zero almost surely.

Keywords

Cite

@article{arxiv.1509.02979,
  title  = {Uniform dimension results for fractional Brownian motion},
  author = {Richárd Balka and Yuval Peres},
  journal= {arXiv preprint arXiv:1509.02979},
  year   = {2017}
}

Comments

27 pages. Lemma 4.3 in the earlier version was incorrect, so we removed it and generalized Lemma 4.4, see the new Lemma 4.3. The published paper only states Theorem 1.9 for compact sets