Fractional differentiation in the self-affine case. I: Random functions (Q1201765): Difference between revisions

Let \(X(t)\) be a measurable random mapping of \(\mathbb{R}^ p\) into \(\mathbb{R}^ q\) with finite expectation and \(D\)-scale self-similar for some \(D>0\) (i.e. \(X\) has stationary increments) and satisfies \(\rho^{-D}X(\rho(t))=X(t)\), \(0<\rho<1\). The authors show that, for any direction \(v\in\mathbb{R}^ p\), the directional derivative \(d_ DX(t)v\) is, for almost all \(t\), equal to \(\lim_{R\to\infty}{1\over R}\int^ R_ 0e^{-rD}(X(t+e^{-r}v)-X(t))dr\) almost surely. Among other results the paper also contains a generalization to \((U,V)\)-self-affine random mappings, where \(U\) and \(V\) are linear retractions in \(\mathbb{R}^ p\) and \(\mathbb{R}^ q\), respectively, with \(d_ D\) replaced by an affine directional derivative \(d_{U,V}\). The work was motivated by the special case of Brownian motion, where \(D={1\over 2}\).