| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7548699 | Statistics & Probability Letters | 2018 | 9 Pages |
Abstract
Let XH and XK be solutions to two stochastic differential equations driven by independent fractional Brownian motions with Hurst parameters H and K, respectively. We study when XH and XK
intersect with each other over a finite time interval. We also derive Hausdorff and packing dimension results for the set of intersection times of XH and XK.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Cheng Ouyang, Yinghui Shi, Dongsheng Wu,