Fractal dimensions of rough differential equations driven by fractional Brownian motions

DOI10.1016/J.SPA.2016.02.005MaRDI QIDQ288841zbMATH OpenOpenAlexFDO

Authors Shuwen Lou, Cheng Ouyang

Publication date 27 May 2016

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

Full work available at URL https://arxiv.org/abs/1501.06653

zbMATH Keywords

level setsfractional Brownian motionfractal dimensionsample pathsrough differential equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hausdorff and packing measures (28A78) Fractals (28A80) Measure-preserving transformations (28D05)

Abstract: In this work we study fractal properties of rough differential equations driven by a fractional Brownian motions with Hurst parameter $H>frac14$. In particular, we show that the Hausdorff dimension of the sample paths of the solution is $mind,frac1H$ and that the Hausdorff dimension of the level set $L_x=tin[epsilon,1]:X_t=x$ is $1-dH$ with positive probability when $d<frac1H$

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Cited in

(11)

• A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
• Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
• Fractal dimension of fractional Brownian motion based on random sets
• Smoothing effect of rough differential equations driven by fractional Brownian motions
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• Mutual intersection for rough differential systems driven by fractional Brownian motions
• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• Local times of stochastic differential equations driven by fractional Brownian motions
• APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
• On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
• The fractal dimensions of the level sets of the generalized iterated Brownian motion

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