Hausdorff dimension of operator stable sample paths

DOI10.1007/S00605-002-0534-8MaRDI QIDQ1416728zbMATH OpenOpenAlexFDO

Authors Peter Kern, Mark M. Meerschaert, Hans-Peter Scheffler

Publication date 16 December 2003

Published in Monatshefte für Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00605-002-0534-8

zbMATH Keywords

Hausdorff dimensionoperator stablesample path

Mathematics Subject Classification ID

Fractals (28A80) Sample path properties (60G17) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Review text

Let \(X = \{X_t, t \in [0, \infty)\}\) be an \({\mathbb R}^d\)-valued operator stable Lévy process with exponent \(B\) and \(X(0) = 0\). Then \(X\) is operator-self-similar with exponent \(B\). The class of operator stable Lévy processes include strictly stable Lévy processes and Lévy processes with stable components considered by \textit{W. E. Pruitt} and \textit{S. J. Taylor} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 12, 267--289 (1969; Zbl 0181.21103)]. The objective of this paper is to extend the result of Pruitt and Taylor on the Hausdorff dimension of the image \(X([0, 1])\) of a Lévy process in \({\mathbb R}^d\) with stable components to operator stable Lévy processes. Under a mild condition on the density of \(X_1\), the authors determine the Hausdorff dimension of \(X([0, 1])\) in terms of the real parts of the eigenvalues of the linear operator \(B\). Their arguments rely on the formulas of \textit{W. E. Pruitt} [J. Math. Mech. 19, 371--378 (1969; Zbl 0192.54101)] for the Hausdorff dimension of the range of a general Lévy process. We mention that the extra condition on the density function of \(X_1\) has been removed in a recent paper of M. M. Meerschaert and the reviewer.

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