Related papers: Brownian motion with variable drift: 0-1 laws, hit…

We prove that the Fourier dimension of the graph of fractional Brownian motion with Hurst index greater than $1/2$ is almost surely 1. This extends the result of Fraser and Sahlsten (2018) for the Brownian motion and confirms part of the…

In this paper, we find a natural four dimensional analog of the moderate deviation results of Chen (2004) for the mutual intersection of two independent Brownian motions $B$ and $B'$. In this work, we focus on understanding the following…

We first consider the additive Brownian motion process $(X(s_1,s_2),\ (s_1,s_2) \in \mathbb{R}^2)$ defined by $X(s_1,s_2) = Z_1(s_1) - Z_2 (s_2)$, where $Z_1$ and $Z_2 $ are two independent (two-sided) Brownian motions. We show that with…

Let $W$ denote $d$-dimensional Brownian motion. We find an explicit formula for the essential supremum of Hausdorff dimension of $W(E)\cap F$, where $E\subset(0,\infty)$ and $F\subset \mathbf {R}^d$ are arbitrary nonrandom compact sets. Our…

Let $B$ be a bi-fractional Brownian motion with indices $H\in (0,1),K\in (0,1]$, $2HK=1$ and let ${\mathscr L}(x,t)$ be its local time process. We construct a Banach space ${\mathscr H}$ of measurable functions such that the quadratic…

Let $K$ be a compact set in $\rd$ with positive Hausdorff dimension. Using a Fractional Brownian Motion, we prove that in a prevalent set of continuous functions on $K$, the Hausdorff dimension of the graph is equal to $\dim_{\mathcal…

An N-parameter Brownian sheet in R^d maps a non-random compact set F in R^N_+ to the random compact set B(F) in \R^d. We prove two results on the image-set B(F): (1) It has positive d-dimensional Lebesgue measure if and only if F has…

We derive the exact value of intersection exponents between planar Brownian motions or random walks, confirming predictions from theoretical physics by Duplantier and Kwon. Let B and B' be independent Brownian motions (or simple random…

We show that the Hausdorff dimension of the boundary of $d$-dimensional super-Brownian motion is $0$, if $d=1$, $4-2\sqrt2$, if $d=2$, and $(9-\sqrt{17})/2$, if $d=3$.

Let $B$ be a $d$-dimensional Gaussian process on $\mathbb{R}$, where the component are independents copies of a scalar Gaussian process $B_0$ on $\mathbb{R}_+$ with a given general variance function…

Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance \[ R^{(H,K)}(s,t)= 2^{-K} \left( \left(|s|^{2H}+|t|^{2H} \right)^{K}-|t-s|^{2HK}\right), \qquad s,t\in R. \] We study the existence of bfBm for a given pair…

Let $B^H = \{ B^H(t), t\in\mathbb{R}^N \}$ be an $(N,d)$-fractional Brownian sheet with Hurst index $H=(H_1,\dotsc,H_N)\in (0,1)^N$. The main objective of the present paper is to study the Hausdorff dimension of the image sets $B^H(F+t)$,…

We investigate the sample path properties of Martin-L\"of random Brownian motion. We show (1) that many classical results which are known to hold almost surely hold for every Martin-L\"of random Brownian path, (2) that the effective…

The Hausdorff dimension of the graphs of the functions in H\"older and Besov spaces (in this case with integrability p \geq 1) on fractal d-sets is studied. Denoting by s \in (0,1] the smoothness parameter, the sharp upper bound…

Let $X$ be a linear diffusion and $f$ a non-negative, Borel measurable function. We are interested in finding conditions on $X$ and $f$ which imply that the perpetual integral functional $$ I^X_\infty(f):=\int_0^\infty f(X_t) dt $$ is…

Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion. As an application of a recent result of ours on exponential functionals of Brownian motion, we show in this paper that, for every fixed $t>0$, the process given by…

We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more…

We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…

We study the singularity (multifractal) spectrum of continuous convex functions defined on $[0,1]^{d}$. Let $E_f({h}) $ be the set of points at which $f$ has a pointwise exponent equal to $h$. We first obtain general upper bounds for the…

In this work we study fractal properties of rough differential equations driven by a fractional Brownian motions with Hurst parameter $H>\frac{1}{4}$. In particular, we show that the Hausdorff dimension of the sample paths of the solution…