Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527304 | Stochastic Processes and their Applications | 2016 | 20 Pages |
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={tâ[ϵ,1]:Xt=x} is 1âdH with positive probability when dH<1.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Shuwen Lou, Cheng Ouyang,