From almost sure local regularity to almost sure Hausdorff dimension for Gaussian fields

DOI10.1051/PS/2013044MaRDI QIDQ5174362zbMATH OpenOpenAlexFDO

Authors Erick Herbin, Benjamin Arras, Geoffroy Barruel

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.0605

zbMATH Keywords

Gaussian random fieldsHausdorff dimensionHölder regularitymulti-fractional Brownian motionmultiparameter processesstationarity

Mathematics Subject Classification ID

Hausdorff and packing measures (28A78) Stationary stochastic processes (60G10) Gaussian processes (60G15) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60)

Abstract: Fine regularity of stochastic processes is usually measured in a local way by local H"older exponents and in a global way by fractal dimensions. Following a previous work of Adler, we connect these two concepts for multiparameter Gaussian random fields. More precisely, we prove that almost surely the Hausdorff dimensions of the range and the graph in any ball $B(t_0,ho)$ are bounded from above using the local H"older exponent at $t_0$. We define the deterministic local sub-exponent of Gaussian processes, which allows to obtain an almost sure lower bound for these dimensions. Moreover, the Hausdorff dimensions of the sample path on an open interval are controlled almost surely by the minimum of the local exponents. Then, we apply these generic results to the cases of the multiparameter fractional Brownian motion, the multifractional Brownian motion whose regularity function $H$ is irregular and the generalized Weierstrass function, whose Hausdorff dimensions were unknown so far.

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Cited in

(11)

• Some singular sample path properties of a multiparameter fractional Brownian motion
• Dimension results for Gaussian vector fields and index- stable fields
• On the monofractality of many stationary continuous Gaussian fields
• Selected topics in the generalized mixed set-indexed fractional Brownian motion
• Local correlation dimension of multidimensional stochastic process
• Regularity of an abstract Wiener integral
• Sample paths properties of the set-indexed fractional Brownian motion
• scientific article; zbMATH DE number 4105964 (Why is no real title available?)
• Dimension de corrélation locale et dimension de Hausdorff des processus vectoriels continus
• Some sample path properties of multifractional Brownian motion
• Local Hölder regularity for set-indexed processes

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