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Journal Articles Bernoulli Year : 2020

Sojourn time dimensions of fractional Brownian motion

Abstract

We describe the size of the sets of sojourn times $E_\gamma = \{ t\geq 0: |B_t| \leq t^\gamma\}$ associated with a fractional Brownian motion $B$ in terms of various large scale dimensions.
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Dates and versions

hal-02890880 , version 1 (06-07-2020)

Identifiers

  • HAL Id : hal-02890880 , version 1

Cite

Ivan Nourdin, Giovanni Peccati, Stéphane Seuret. Sojourn time dimensions of fractional Brownian motion. Bernoulli, 2020. ⟨hal-02890880⟩
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