Fractional differentiation in the self-affine case. I: Random functions

DOI10.1016/0304-4149(92)90081-ZMaRDI QIDQ1201765zbMATH OpenOpenAlexFDO

Authors Norbert Patzschke, Martina Zähle

Publication date 17 January 1993

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90081-z

zbMATH Keywords

Brownian motionlinear retractionsmeasurable random mappingself-similar

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

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 \(D={1\over 2}\).

Recommendations

• Fractional differentiation in the self-affine case. IV — random measures
• The Weyl-Marchaud fractional derivative of a type of self-affine functions
• Fractional Differentiation in the Self‐Affine Case. V ‐ The Local Degree of Differentiability
• On the fractional derivative of Brownian local times
• Fractional differentiation in the self-affine case. II: Extremal processes

Cites work

• scientific article; zbMATH DE number 3911357 (Why is no real title available?)
• Sample path properties of self-similar processes with stationary increments
• Self-similar processes with stationary increments generated by point processes
• Self‐Similar Random Measures III – Self‐Similar Random Processes
• The measure theory of random fractals

Cited in

(10)

• Fractional differentiation in the self-affine case. II: Extremal processes
• Average densities of the image and zero set of stable processes
• The average density of the path of planar Brownian motion
• On Bandt's tangential distribution for self-similar measures
• scientific article; zbMATH DE number 5502276 (Why is no real title available?)
• CALCULUS ON FRACTAL SUBSETS OF REAL LINE — I: FORMULATION
• Fractional Differentiation in the Self‐Affine Case. V ‐ The Local Degree of Differentiability
• Fractional differentiability of nowhere differentiable functions and dimensions
• Fractional differentiation in the self-affine case. IV — random measures
• ON THE FRACTIONAL DERIVATIVE OF A TYPE OF SELF-AFFINE CURVES

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