Article ID Journal Published Year Pages File Type
10527304 Stochastic Processes and their Applications 2016 20 Pages PDF
Abstract
In this work we study fractal properties of a d-dimensional rough differential equation driven by fractional Brownian motions with Hurst parameter H>14. In particular, we show that the Hausdorff dimension of the sample paths of the solution is min{d,1H} and that the Hausdorff dimension of the level set Lx={t∈[ϵ,1]:Xt=x} is 1−dH with positive probability when dH<1.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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