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Some Singular Sample Path Properties of a Multiparameter Fractional Brownian Motion

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  • Alexandre Richard

    (École Centrale Paris-INRIA Regularity Team
    Bar-Ilan University)

Abstract

We obtain a spectral representation and compute the small ball probabilities for a (non-increment stationary) multiparameter extension of the fractional Brownian motion. We derive from these results a Chung-type law of the iterated logarithm at the origin and exhibit the singular behaviour of this multiparameter fractional Brownian motion, as it behaves very differently at the origin and away from the axes. A functional version of this Chung-type law is also provided.

Suggested Citation

  • Alexandre Richard, 2017. "Some Singular Sample Path Properties of a Multiparameter Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1285-1309, December.
    • Handle: RePEc:spr:jotpro:v:30:y:2017:i:4:d:10.1007_s10959-016-0694-4
    DOI: 10.1007/s10959-016-0694-4
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    References listed on IDEAS

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    1. David M. Mason & Zhan Shi, 2001. "Small Deviations for Some Multi-Parameter Gaussian Processes," Journal of Theoretical Probability, Springer, vol. 14(1), pages 213-239, January.
    2. Richard, Alexandre, 2015. "A fractional Brownian field indexed by L2 and a varying Hurst parameter," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1394-1425.
    3. Herbin, Erick & Lévy-Véhel, Jacques, 2009. "Stochastic 2-microlocal analysis," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2277-2311, July.
    4. Eduard Belinsky & Werner Linde, 2002. "Small Ball Probabilities of Fractional Brownian Sheets via Fractional Integration Operators," Journal of Theoretical Probability, Springer, vol. 15(3), pages 589-612, July.
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    Cited by:

    1. Zuopeng Fu & Yizao Wang, 2020. "Stable Processes with Stationary Increments Parameterized by Metric Spaces," Journal of Theoretical Probability, Springer, vol. 33(3), pages 1737-1754, September.

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