Variation of multiparameter Brownian motion

Author:

Yoder Lane

Abstract

Lévy’s N N -parameter Brownian motion in d d -dimensional space is denoted by W ( N , d ) {W^{(N,d)}} . Using uniform partitions and a Vitali-type variation, Berman recently extended to W ( N , 1 ) {W^{(N,1)}} a classical result of Lévy concerning the relation between W ( 1 , 1 ) {W^{(1,1)}} and 2 2 -variation. With this variation W ( N , d ) {W^{(N,d)}} has variation dimension 2 N 2N with probability one. An appropriate definition of weak variation is given using powers of the diameters of the images of sets which satisfy a parameter of regularity. A previous result concerning the Hausdorff dimensions of the graph and image is used to show the weak variation dimension of W ( N , d ) {W^{(N,d)}} is 2 N 2N with probability one, extending the result for W ( 1 , 1 ) {W^{(1,1)}} of Goffman and Loughlin. If unrestricted partitions of the domain are used, the weak variation dimension of a function turns out to be the same as the Hausdorff dimension of the image.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference7 articles.

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2. A. S. Besicovitch and H. D. Ursell, Sets of fractional dimension. V: On dimensional members of some continuous curves, J. London Math. Soc. 12 (1937), 18-25.

3. Strong and weak Φ-variation of Brownian motion;Goffman, Casper;Indiana Univ. Math. J.,1972

4. La mesure de Hausdorff de la courbe du mouvement brownien;Lévy, Paul;Giorn. Ist. Ital. Attuari,1953

5. \bysame, Processus stochastiques et mouvement Brownien, Gauthier-Villars, Paris, 1948, p. 265. MR 10, 551.

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