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Propagation of singularities in the semi-fractional Brownian sheet

Author

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  • Blath, Jochen
  • Martin, Andreas

Abstract

Let X be a semi-fractional Brownian sheet, that is a centred and continuous Gaussian random field with . We provide, for [alpha][set membership, variant](0,2), an analysis of the propagation of singularities into the fractional direction of X. Here, singularities are times where the law of the iterated logarithm fails, such as fast points.

Suggested Citation

  • Blath, Jochen & Martin, Andreas, 2008. "Propagation of singularities in the semi-fractional Brownian sheet," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1264-1277, July.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:7:p:1264-1277
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    Cited by:

    1. Lee, Cheuk Yin & Xiao, Yimin, 2022. "Propagation of singularities for the stochastic wave equation," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 31-54.

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