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arXiv · 1706.09726

Hausdorff Dimension of the Record Set of a Fractional Brownian Motion

Lucas Benigni·Clément Cosco·Assaf Shapira·Kay Jörg Wiese
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Abstract

We prove that the Hausdorff dimension of the record set of a fractional Brownian motion with Hurst parameter $H$ equals $H$.

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Lucas Benigni, Clément Cosco, Assaf Shapira, Kay Jörg Wiese. 2017-06-29. Hausdorff Dimension of the Record Set of a Fractional Brownian Motion. https://doi.org/10.1214/18-ecp121

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