Hostname: page-component-cd9895bd7-gbm5v Total loading time: 0 Render date: 2024-12-27T18:45:25.774Z Has data issue: false hasContentIssue false

The packing measure of the trajectories of multiparameter fractional Brownian motion

Published online by Cambridge University Press:  27 August 2003

YIMIN XIAO
Affiliation:
Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, U.S.A.

Abstract

Let $X\,{=}\,\{X(t), \ t \in {\R^N}\}$ be a multiparameter fractional Brownian motion of index $\alpha$ ($0< \alpha < 1$) in $\R^d.$ We prove that if $N < \alpha d\ $, then there exist positive finite constants $K_1$ and $K_2 $ such that with probability 1, $$ K_1 \le \hbox{$\varphi$-$p(X([0,1]^N))$} \,{\le} \hbox{ $\varphi$-$p({\rm Gr}X([0,1]^N))$} \,{\le}\, K_2$$ where $\varphi(s) = s^{N/\alpha}/(\log \log1/s)^{N/(2 \alpha)}$, $\varphi$-$p(E)$ is the $\varphi$-packing measure of $E$, $X([0, 1]^N)$ is the image and ${\rm Gr}X([0, 1]^N) \,{=}\, \{(t, X(t)); \ t \in [0, 1]^N\}$ is the graph of $X$, respectively. We also establish liminf and limsup type laws of the iterated logarithm for the sojourn measure of $X$.

Type
Research Article
Copyright
2003 Cambridge Philosophical Society

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)