相关论文: Dimension of Fractional Brownian motion with varia…

Let $x$ be a irrational number in the unit interval and denote by its continued fraction expansion $[a_1(x), a_2(x), \cdots, a_n(x), \cdots]$. For any $n \geq 1$, write $T_n(x) = \max_{1 \leq k \leq n}\{a_k(x)\}$. We are interested in the…

Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, which can change the structure of the underlying…

Consider the $\lambda$-Green function and the $\lambda$-Poisson kernel of a Lipschitz domain $U\subset \mathbb H^n=\left\{x\in\mathbb R^n:x_n>0\right\}$ for hyperbolic Brownian motion with drift. We provide several relationships that…

We consider a family of sup-functionals of (drifted) fractional Brownian motion with Hurst parameter $H\in(0,1)$. This family includes, but is not limited to: expected value of the supremum, expected workload, Wills functional, and…

The process $(G_t)_{t\in[0,T]}$ is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of the fractional Brownian motion $(B^H_t)_{t\in[0,T ]}$ is a…

In this paper, we consider a complex-valued d-dimensional fractional Brownian motion defined on the closure of the complex upper half-plane, called analytic fractional Brownian motion. This process has been introduced by the second author…

For fractional Brownian motion with Hurst parameter H the Berman constant is defined. In this paper we consider a general random field (rf) Z that is a spectral rf of some stationary max-stable rf X and derive the properties of the…

In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we apply Doss-Sussmann representation of the solution and an…

We investigate from a multifractal analysis point of view the increasing rate of the sums of partial quotients $S\_n(x)=\sum\_{j=1}^n a\_j(x)$, where $x=[a\_1(x), a\_2(x), \cdots ]$ is the continued fraction expansion of an irrational $x\in…

If a point particle moves chaotically through a periodic array of scatterers the associated transport coefficients are typically irregular functions under variation of control parameters. For a piecewise linear two-parameter map we analyze…

We study the Taylor expansion for the solution of a differential equation driven by a multidimensional Holder path with exponent \beta> 1/2. We derive a convergence criterion that enables us to write the solution as an infinite sum of…

This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter $H>3/4$ in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when $H$ is…

We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.

We examine a parameterized family of functions F_a, all of which are continuous and some of which are nowhere or almost nowhere differentiable, we explore the behavior of F'_a and F"_a almost everywhere for different values of a, focusing…

We give a direct derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift. The argument uses a relation between integrals of special functions,…

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…

We show that the distribution of the maximum of the fractional Brownian motion $B^H$ with Hurst parameter $H\to 0$ over an $n$-point set $\tau \subset [0,1]$ can be approximated by the normal law with mean $\sqrt{\ln n}$ and variance $1/2$…

We prove that for any nonlinear $f \in C^{1,\alpha}([0,1])$, the union of lines covering its graph has a Hausdorff dimension of at least $1+\alpha$, and this dimension bound is sharp. We then apply these geometric results to mathematical…

We establish several optimal estimates for exceptional parameters in the projection of fractal measures: (1) For a parametric family of self-similar measures satisfying a transversality condition, the set of parameters leading to a…

Since the recent dissertation by Steffen Winter, for certain self-similar sets $F$ the growth behaviour of the Minkowski functionals of the parallel sets $F_\varepsilon := \{x\in \mathbb R^d : d(x,F)\leq \varepsilon\}$ as $\varepsilon…