Sojourn time dimensions of fractional Brownian motion

2018/09/03 by Nourdin, Ivan, Peccati, Giovanni, Seuret, Stéphane
#FOS: Mathematics #Metric Geometry (math.MG) #Probability (math.PR)

paper · doi:10.48550/arxiv.1809.00518

Abstract

We describe the size of the sets of sojourn times E_γ=\t≥ 0: |B_t|≤ t^γ\ associated with a fractional Brownian motion B in terms of various large scale dimensions.

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