IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v71y1997i1p91-110.html
   My bibliography  Save this article

On the fractal nature of increments of lp-valued Gaussian processes

Author

Listed:
  • Zhang, Li-Xin

Abstract

We prove that the set of points where exceptional oscillation of lp-valued Gaussian processes occur infinitely often is a random fractal, and evaluate its Hausdorff dimension. Applications to fractional Brownian motions and Ornstein-Uhlenbeck processes are also discussed.

Suggested Citation

  • Zhang, Li-Xin, 1997. "On the fractal nature of increments of lp-valued Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 91-110, October.
    • Handle: RePEc:eee:spapps:v:71:y:1997:i:1:p:91-110
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(97)00063-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Csáki, E. & Csörgo, M. & Lin, Z. Y. & Révész, P., 1991. "On infinite series of independent Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 25-44, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lin, Z. Y., 1995. "On large increments of infinite series of Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 161-169, November.
    2. Lin, Zhengyan & Hwang, Kyo-Shin & Lee, Sungchul & Choi, Yong-Kab, 2004. "Path properties of a d-dimensional Gaussian process," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 383-393, July.
    3. Yong-Kab Choi, 2004. "Path properties of (N;d)-Gaussian random fields," RePAd Working Paper Series lrsp-TRS393, Département des sciences administratives, UQO.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:71:y:1997:i:1:p:91-110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.