Self-intersections and local nondeterminism of Gaussian processes

DOI10.1214/AOP/1176990539MaRDI QIDQ805057zbMATH OpenOpenAlexFDO

Authors Simeon M. Berman

Publication date 1991

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176990539

zbMATH Keywords

Gaussian processHausdorff dimensionlocal nondeterminismrandom Fourier seriesspectral distributionstationary incrementssymmetric stable random variables

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Local time and additive functionals (60J55)

Review text

Let X(t), \(t\geq 0\), be a vector Gaussian process in \({\mathbb{R}}^ m\) whose components are i.i.d. copies of a real Gaussian process \(\xi\) (t) with stationary increments. For r closed disjoint intervals \(I_ 1,...,I_ r\) define the process \((X(t_ 2)-X(t_ 1),...,X(t_ r)-X(t_{r-1})),\) \(t_ i\in I_ i\), \(i=1,...,r\), from \(I_ 1\times...\times I_ r\) into \(R^{m(r-1)}\). Under conditions on the spectral distribution of \(\xi\) (t) it is shown that the local time of this process is jointly continuous. This is used as a key step to obtain estimations from above and below of the Hausdorff dimension of the r-multiple self-intersection set \(\{(t_ 1,...,t_ r):\;t_ 1<t_ 2<...<t_ r,\quad X(t_ 1)=...=X(t_ r)\}.\) The main tool in all these results is the concept of local nondeterminism introduced and developed by the author [Stochastic Processes Appl. 27, No.1, 73-84 (1987; Zbl 0633.60055)]. An extension of the results to random Fourier series with coefficients which are symmetric stable random variables is also given.

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(19)

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