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

Author

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  • 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
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    References listed on IDEAS

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    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.
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