Local Functional Limit Theorems of Increments for Brownian Motion

In this paper, we present a local Csrg–Révész type functional limit theorem for increments of Brownian motion and give its convergence rate. The results also extend the functional forms of Lévy's modulus of continuity for Brownian motion.     

Functional Limit Theorems for Multiparameter Fractional Brownian Motion

We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.      

On Upper Class of Increments of Fractional Brownian Motion

A series test for the upper upper class and lower upper class of increments of fractional brownian motion is provided.     

k维布朗运动C-R型增量在Hlder范数下的泛函极限定理

本文在Ｈ ｌｄｅｒ范数生成的强拓扑下，　通过建立大偏差公式，　得到了ｋ维布朗运动Ｃ－Ｒ型增量在Ｈ ｌｄｅｒ范数下的泛函极限定理．     

κ维布朗运动C-R型增量在Holder范数下的泛函极限定理

本文在Holder范数生成的强拓扑下,通过建立大偏差公式,得到了κ维布朗运动C-R型增量在Holder范数下的泛函极限定理.     

k维布朗运动C-R型增量在Hlder范数下的泛函极限定理

本文在Ｈ ｌｄｅｒ范数生成的强拓扑下，　通过建立大偏差公式，　得到了ｋ维布朗运动Ｃ－Ｒ型增量在Ｈ ｌｄｅｒ范数下的泛函极限定理．     

A Functional LIL and Some Weighted Occupation Measure Results for Fractional Brownian Motion

Weighted occupation measure results are obtained for fractional Brownian motion. Proofs depend on small ball probability estimates of the sup-norm for these processes, which are then used to obtain a functional law of the iterated logarithm. The occupation measure results are consequences of the law of the iterated logarithm.     

On Fractional Brownian Motion and Wavelets

Given a fractional Brownian motion (fBm) with Hurst index H ? (0,1){H\in(0,1)} , we associate with this a special family of representations of Cuntz algebras related to frequency domains and wavelets. Vice versa, we consider a pair of Haar wavelets satisfying some compatibility conditions, and we construct the covariance functions of fBm with a fixed Hurst index. The Cuntz algebra representations enter the picture as filters of the associated wavelets. Extensions to q-dependent covariance functions leading to a corresponding fBm process will also be discussed.     

Some Limit Results for Transient Subsequence of Brownian Motion on Line

Ｌｅｔ {Ｗ(ｔ) ,0≤ｔ<∞ }ｂｅａｓｔａｎｄａｒｄ ,ｏｎｅ ｄｉｍｅｎｓｉｏｎａｌＢｒｏｗｎｉａｎｍｏｔｉｏｎｏｎ (Ω ,Ｆ ,Ｐ) .Ｉｔｉｓｗｅｌｌｋｎｏｗｎｔｈａｔ -∞ =ｌｉｍｉｎｆｔ→∞ Ｗ(ｔ) <ｌｉｍｓｕｐｔ→∞ Ｗ(ｔ) =∞ａｎｄａｃｃｏｒｄｉｎｇｔｏＫａｈａｎｃｅ ([1 ] ,Ｔｈｅｏｒｅｍ1 ,Ｃｈａｐｔｅｒ 1 2 ) ,ｉｆａｓｅｑｕｅｎｃｅ {ｔｎ,ｎ≥ 1 )ｓａｔｉｓｆｉｅｓ∑∞ｎ=11ｔｎ<∞ ,ｔｈｅｎｌｉｍｎ→∞ Ｗ(ｔｎ) =∞ａ .ｓ.Ｗｅｃａｌｌｔｈｅｓｅｑｕｅｎｃｅ {Ｗ (ｔｎ) ,ｎ≥ 1 }ａｔｒａｎｓｉｅｎｔ…     

On Convex Limit Sets and Brownian Motion

We prove limsup results for nonnegative functionals of convex sets determined by normalized Brownian paths in Banach spaces. This continues the interesting investigation of D. Khoshnevisan into this area, and relates to some classical unsolved isoperimetric problems for the convex hull of curves in ^d. Section 4 contains the solution of a problem similar to these classical problems.     

Oscillatory Fractional Brownian Motion

We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with or without branching and with different types of initial conditions, where the individual particle motion is the so-called c-random walk on a hierarchical group. The oscillations are caused by the ultrametric structure of the hierarchical group, and they become slower as time tends to infinity and faster as time approaches zero. A randomness property of the initial condition increases the long range dependence. We emphasize the new phenomena that are caused by the ultrametric structure as compared with results for analogous models on Euclidean space.     

分式Brown运动的极函数

设X(t)(t∈R^N)是指数为α的d维分式Brown运动。本文研究X（t）的极函数问题，得出了满足P｛t∈R^N\｛0｝，X（t）=f(t)=0｝的连续函数f组成的类的特征，解决了Legall提出的一个问题；并且得到了（N，N，2α）过程的不动点的Hausdorff维数。     

A Set-indexed Fractional Brownian Motion

We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations with the Lévy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no “really nice” set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, behavior of the set-indexed fractional Brownian motion along increasing paths is analysed.      

A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion

This paper gives a central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. We first recall the definition of this process and the statistical results on the estimation of its parameters.     

Doubly Perturbed Neutral Stochastic Functional Equations Driven by Fractional Brownian Motion

In this paper, we study a class of doubly perturbed neutral stochastic functional equations driven by fractional Brownian motion. Under some non-Lipschitz conditions, we will prove the existence and uniqueness of the solution to these equations by providing a semimartingale approximation of a fractional stochastic integration.     

Brown运动增量在H?lder范数下的局部泛函Chung重对数律

本文利用Brown运动在H?lder范数下的大偏差和小偏差,得到了Brown运动增量在H?lder范数下的局部泛函Chung重对数律.     

Path Properties of a Generalized Fractional Brownian Motion

Journal of Theoretical Probability - The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the...     

广义分数布朗运动的若干性质

本文, 我们定义了一类新的分数布朗运动, 研究了它的局部非决定性和局部时的联合连续性, 最后给出了它的水平集的Hausdorff维数的上、下界.     

Dimensional Properties of Fractional Brownian Motion

Let B^α = {B^α（t）,t E R^N} be an （N,d）-fractional Brownian motion with Hurst index α∈ （0, 1）. By applying the strong local nondeterminism of B^α, we prove certain forms of uniform Hausdorff dimension results for the images of B^α when N 〉 αd. Our results extend those of Kaufman for one-dimensional Brownian motion.     

Functional Limit Theorems for the Increments of Gaussian Samples

Functional limit theorems for increments of Gaussian samples are obtained. As consequences, functional modulus of continuity theorem and functional large increment theorem of a fractional Brownian motion are established in this paper.