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Transactions of the American Mathematical Society
Transactions of the American Mathematical Society
ISSN 1088-6850(e) ISSN 0002-9947(p)
     

Packing measure of the sample paths of fractional Brownian motion

Author(s): Yimin Xiao
Journal: Trans. Amer. Math. Soc. 348 (1996), 3193-3213.
MSC (1991): Primary 60G15, 60G17
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Abstract | Similar articles | Additional information

Abstract: Let $X(t)  (t \in % \mathbf {R}) $ be a fractional Brownian motion of index $% \alpha $ in $% \mathbf {R}^d.$ If $1 < % \alpha d $, then there exists a positive finite constant $K $ such that with probability 1,

\begin{displaymath}\hbox { $\phi $-$p(X([0,t]))$} =  Kt  \  \hbox {for any }  t > 0 ,\end{displaymath}

where $% \phi (s) = s^{\frac 1 {% \alpha }}/ (\log \log \frac 1 s)^{\frac 1 {2 % \alpha }}$ and $\phi $-$p (X([0,t]))$ is the $\phi $-packing measure of $X([0,t])$.


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Additional Information:

Yimin Xiao
Affiliation: Department of Mathematics, The Ohio State University, Columbus, Ohio 43210
Address at time of publication: Department of Mathematic, University of Utah, Salt Lake City, Utah 84112

DOI: 10.1090/S0002-9947-96-01712-6
PII: S 0002-9947(96)01712-6
Keywords: Packing measure, fractional Brownian motion, image, sojourn time
Received by editor(s): August 2, 1995
Copyright of article: Copyright 1996, American Mathematical Society


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