Volume 18, 2014
|418 - 440
|08 October 2014
From almost sure local regularity to almost sure Hausdorff dimension for Gaussian fields
Revised: 6 February 2013
Fine regularity of stochastic processes is usually measured in a local way by local Hölder exponents and in a global way by fractal dimensions. In the case of multiparameter Gaussian random fields, Adler proved that these two concepts are connected under the assumption of increment stationarity property. The aim of this paper is to consider the case of Gaussian fields without any stationarity condition. More precisely, we prove that almost surely the Hausdorff dimensions of the range and the graph in any ball B(t0,ρ) are bounded from above using the local Hölder exponent at t0. We define the deterministic local sub-exponent of Gaussian processes, which allows to obtain an almost sure lower bound for these dimensions. Moreover, the Hausdorff dimensions of the sample path on an open interval are controlled almost surely by the minimum of the local exponents. Then, we apply these generic results to the cases of the set-indexed fractional Brownian motion on RN, the multifractional Brownian motion whose regularity function H is irregular and the generalized Weierstrass function, whose Hausdorff dimensions were unknown so far.
Mathematics Subject Classification: 60G15 / 60G17 / 60G10 / 60G22 / 60G60
Key words: Gaussian processes / Hausdorff dimension / (multi)fractional Brownian motion / multiparameter processes / Hölder regularity / stationarity
© EDP Sciences, SMAI 2014
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.