Random fractals determined by Lévy processes

DOI10.1007/S10959-009-0224-8MaRDI QIDQ616257zbMATH OpenOpenAlexFDO

Authors Jamison Wolf

Publication date 7 January 2011

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-009-0224-8

zbMATH Keywords

\(p\)-variationBlumenthal-Getoor indicesHausdorff dimensionLévy process

Mathematics Subject Classification ID

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

Review text

The paper is devoted to various results on Blumenthal-Getoor indices, in particular, it contains a good survey of existing results. A new index \(\eta\) for a Lévy process \(X\) is introduced, \[ \eta:=\sup\Big\{ \alpha>0: \limsup_{a\to 0} a^\alpha ET(a,a)<\infty \Big\}, \] where \(T(a,s)\) is the sojourn time of \(X\) in the ball of radius \(a\), centered at the origin, up to time \(s\). In particular, it is shown that \(\eta\) is equal to the dimension of the graph of \(X\), \(\text{Gr}(X, \mathbb R_+):=\{(t,X(t)): t\in \mathbb R_+\}\).

Recommendations

• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation of some Lévy processes
• Packing and covering indices for a general Lévy process
• The packing indices for some Lévy processes
• Random fractals generated by a local Gaussian process indexed by a class of functions
• scientific article; zbMATH DE number 2154240

Cites work

• A dimension theorem for sample functions of stable processes
• Differentiability of six operators on nonsmooth functions and \(p\)-variation. With the collaboration of Jinghua Qian
• Estimating the p-variation index of a sample function: an application to financial data set
• Hausdorff Dimension in a Process with Stable Components--An Interesting Counterexample
• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation of some Lévy processes
• Hitting probabilities of single points for processes with stationary independent increments
• scientific article; zbMATH DE number 3159046 (Why is no real title available?)
• scientific article; zbMATH DE number 3483315 (Why is no real title available?)
• scientific article; zbMATH DE number 3484987 (Why is no real title available?)
• scientific article; zbMATH DE number 739280 (Why is no real title available?)
• scientific article; zbMATH DE number 1994007 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3306377 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3086971 (Why is no real title available?)
• Local Times and Zero Sets for Processes with Infinitely Divisible Distributions
• Lévy Processes and Stochastic Calculus
• Lévy processes: capacity and Hausdorff dimension
• Measuring the range of an additive Lévy process
• On the \gamma-Variation of Processes with Stationary Independent Increments
• Path behavior of processes with stationary independent increments
• Sample path properties of processes with stable components
• Some Remarks on Asymmetric Processes
• Some Theorems on Stable Processes
• The dimension of the set of zeros and the graph of a symmetric stable process
• The measure theory of random fractals

Cited in

(5)

• The fractal structures of the exceptional sets of Lévy processes
• Where does a random process hit a fractal barrier?
• Paired Lévy–Mandelbrot Trajectory as a Homogeneous Fractal
• Hausdorff dimension of range and graph for general Markov processes
• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation of some Lévy processes

This page was built for publication: Random fractals determined by Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q616257)