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arXiv · 1410.4430

Some singular sample path properties of a multiparameter fractional Brownian motion

Alexandre Richard
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Abstract

We prove a Chung-type law of the iterated logarithm for a multiparameter extension of the fractional Brownian motion which is not increment stationary. This multiparameter fractional Brownian motion behaves very differently at the origin and away from the axes, which also appears in the Hausdorff dimension of its range and in the measure of its pointwise H\"older exponents. A functional version of this Chung-type law is also provided.

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Alexandre Richard. 2014-10-16. Some singular sample path properties of a multiparameter fractional Brownian motion. https://arxiv.org/abs/1410.4430

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