WAVELET-BASED ESTIMATOR FOR THE HURST PARAMETERS OF FRACTIONAL BROWNIAN SHEET

It is proposed a class of statistical estimators H = （H1,… ,Hd） for the Hurst parameters H = （H1,… ,Hd） of fractional Brownian field via multi-dimensional wavelet analysis and least squares, which are asymptotically normal. These estimators can be used to detect self-similarity and long-range dependence in multi-dimensional signals, which is important in texture classification and improvement of diffusion tensor imaging （DTI） of nuclear magnetic resonance （NMR）. Some fractional Brownian sheets will be simulated and the simulated data are used to validate these estimators. We find that when Hi ≥ 1/2, the estimators are accurate, and when Hi 〈 1/2, there are some bias.

INTERSECTIONS AND POLAR FUNCTIONS OF FRACTIONAL BROWNIAN SHEETS

Let B^H={B^H（t）,t∈R^N＋}be a real-valued（N,d）fractional Brownian sheet with Hurst index H=（H1,…,HN）.The characteristics of the polar functions for B^H are discussed.The relationship between the class of continuous functions satisfying Lipschitz condition and the class of polar-functions of B^H is obtained.The Hausdorff dimension about the fixed points and the inequality about the Kolmogorov’s entropy index for B^H are presented.Furthermore,it is proved that any two independent fractional Brownian sheets are nonintersecting in some conditions.A problem proposed by LeGall about the existence of no-polar continuous functions satisfying the Holder condition is also solved.

POLAR SETS OF MULTIPARAMETER BIFRACTIONAL BROWNIAN SHEETS

Let B^H＇K={B^H＇K（t）, t∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,…,HN） C∈0,1）^N and K = （K1,…,KN） ∈ （0,1]^N. The properties of the polar sets of B^H＇K are discussed. The sufficient conditions and necessary conditions for a compact set to be polar for B^H＇K are proved. The infimum of Hausdorff dimensions of its non-polar sets are obtained by means of constructing a Cantor-type set to connect its Hausdorff dimension and capacity.

DIMENSION OF POLAR SETS FOR BROWNIAN SHEET

Let W={W(t);t ∈R_+~N} be the d-dimensional N-parameter Brownian Sheet. Sufficient conditions for a compact set F C Rd \ {0} to be a polar set for W are proved. It is also proved that if 2N≤d, then for any compact set E (?)R_>~N ,inf {dimF : F ∈B(Rd), P{W(E) ∩F≠(?)}>0} = d- 2DiroE, and if 2N > d, then for any compact set F C Rd \ {0}, inf{dim E : E ∈ B(R_>~N), P{W(E)∩F≠(?)}>0}=d/2-DimF/2,where B(Rd) and B(R_>~N) denote the Borel σ-algebra in Rd and R_>~N respectively, and dim and Dim are Hausdorff dimension and Packing dimension respectively.

一个广义Brownian Sheet函数的概率分布估计

本文采用与[2]不同的方法,得到了广义Brownian Sheet在矩形域上的最大值的尾分布估计,以及包括[2]中“对称原理”在内的广义Brownian Sheet函数的概率分布估计。

广义Brownian Sheet的马氏性、转移概率和预测

讨论了广义BrownianSheet的单点马氏性、宽过去马氏性、宽将来马氏性、*-马氏性,各种转移概率及其预测.

GENERALIZED BROWNIAN SHEET IMAGES AND BESSEL-RIESZ CAPACITY

Let W^~ be a two-parameter, R^d-valued generalized Brownian sheet. The author obtains an explicit Bessel-Riesz capacity estimate for the images of a two-dimensional set under W^~. He also presents the connections between the Lebesgue measure of the image of W^~ and Bessel-Riesz capacity. His conclusions also solve a problem proposed by J.- P.Kahane.

Some Polar Sets for the Generalized Brownian Sheet

Let W^-（t）（t∈R＋^N） be the d-dimensional N-parameter generalized Brownian sheet. We study the polar sets for W^-（t）. It is proved that for any α∈ R^d, P{W^-（t） = α, for some t∈ R〉^N} = {1, if βd 〈 2N ,0 if αd〉 2N and the probability that W^-（t） has k-multiple points is 1 or 0 according as whether 2kN〉d（k-1）β or 2kN 〈 d（k - 1）α. These results contain and extend the results of the Brownian sheet, where R〉^N = （0,＋∞）U,R＋^N = [0,＋∞）^N,0〈 α ≤1and β〉1.

关于连续轨道Brownian Sheet存在性的证明

给出连续轨道 Brownian sheet存在性的另一种证明方法 .

Polar Functions of Multiparameter Bifractional Brownian Sheets

Let B^H,K ： （B^H,K（t）, t ∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,..., HN） ∈ （0, 1）^N and K = （K1,..., KN）∈ （0, 1]^N. The characteristics of the polar functions for B^H,K are investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of B^H,K is presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov＇s entropy index for B^H,K are obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.

Polar Sets and Relative Dimension for Generalized Brownian Sheet

Let W^～=^～{W^～（t）; t∈ R＋^N） be a d-dimensional N-parameter generalized Brownian sheet. Necessary and sufficient conditions for a compact set E × F to be a polar set for （t,W^～（t）） are proved. It is also proved that if 2N ≤αd, then for any compact set E ∩→ R〉^N,d-2/α Dim E≤inf{dim F：F∈B（R^d）,P{W^～（E）∩F≠0}〉0}≤d-2/βDimE,and if 2N〉αd, then for any compact set F∪→R^d／{0},α/2（d-DimF）≤inf{dimE：E∈B（R〉^N）,P{W^～（E）∩F≠0}〉0}≤β/2（d-DimF）,where B（R^d） and B（R〉^N） denote the Borel σ-algebra in R^d and in R〉^N respectively, dim and Dim are Hausdorff dimension and Packing dimension respectively.

N指标d维广义Brownian Sheet的像集及图集的Hausdorff测度

本文得到了Ｎ指标ｄ维广义Ｂｒｏｗｎｉａｎ Ｓｈｅｅｔ的像集及图集的Ｈａｕｓｄｏｒｆｆ测度的上、下界．

The Uniform Dimension of Generalized Brownian Sheet

For the N-parameter d-dimensional Generalized Brownian Sheet (in short G. B. S.) satisfying some conditions, this paper proves that when 2N≤αd, with probability one, E∈B(R_+~N), there holds 2/βdim E+2N-2Nβ/α≤dim (E)≤2/αdim E. Especially when α=β=1, we have dim (E)=2 dim E. Noting that even if α=β=1, the G. B. S. is wider than the Brownian Sheet, thus we have extended the uniform dimension result of Mountford, T,S.

Some Results on Fractional Brownian Sheets and Their Local Times

Let B0^H = {B0^H（t）,t ∈ R＋^N） be a real-valued fractional Brownian sheet. Define the （N,d）- Gaussian random field B^H by B^H（t） = （B1^H（t）,...,Bd^H（t）） t ∈ R＋^N, where B1^H, ..., Bd^H are independent copies of B0^H. The existence and joint continuity of local times of B^H is proven in some given conditions in [22]. We then study further properties of the local times of B^H, such as the moments of increments of local times, the large increments and the maximum moduli of continuity of local times and as a result, we answer the questions posed in [22].

Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing

Monte Carlo and quasi-Monte Carlomethods arewidely used in scientific studies.As quasi-Monte Carlo simulations have advantage over ordinaryMonte Carlomethods,this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its Karhunen–Loéve expansion.The proposed new approach allocates quasi-random sequences for the simulation of random components of the Karhunen–Loéve expansion by maximum reducing its variability.We apply the quasi-MonteCarlo approach to an option pricing problem for a class of interest rate models whose instantaneous forward rate driven by a different stochastic shock through Brownian sheet andwe demonstrate the application with an empirical problem.

Chung’s functional law of the iterated logarithm for the Brownian sheet

In this paper,we investigate functional limit problem for path of a Brownian sheet,Chung’s functional law of the iterated logarithm for a Brownian sheet is obtained.The main tool in the proof is large deviation and small deviation for a Brownian sheet.

广义Brownian Sheet的鞅刻画

在文献［１］的基础上给出了广义ＢｒｏｗｎｉａｎＳｈｅｅｔ鞅刻画：两参数连续适应过程（Ｂ２）ｚ∈Ｒ２＋为广义ＢｒｏｗｎｉａｎＳｈｅｅｔ的充要条件是（Ｂ２）ｚ∈Ｒ２＋为Ｆｏｕｑｕｅ意义下的两参数局部鞅，且存在Ｒ２＋上的Ｌ—Ｓ测度ｄ，（ｄ《λ，λ为Ｒ２＋上的Ｌｅｂｅｓｇｕｅ测度）使得（Ｂ２ｚ－ｄ（Ｚ）ｚ∈Ｒ２＋为Ｆｏｕｑｕｅ意义下的两参数局部鞅，其中以ｄ（ｚ）＝ｄ（（０，ｚ］）。

Brownian单在Hlder范数下的泛函Lévy连续模

利用Brownian单在Hlder范数下的大偏差,证明Brownian单在Hlder范数下的泛函Lévy连续模.

Brownian单的增量在Hlder范数下的泛函极限定理的上界

利用Brownian单在H lder范数下的大偏差,证明了Brownian单的增量在H lder范数下的泛函极限定理的上界.

N-d维广义Brownian单的像集一致Packing测度和一致Packing维数(英文)

我们获得了 N-d维广义 Brownian单的像集的一致 Packing测度和一致