Fractal Dimensions of Rough Differential Equations Driven by Fractional Brownian Motions

preprint2015arXivOpen access

Abstract

In this work we study fractal properties of rough differential equations driven by a fractional Brownian motions with Hurst parameter H>14H>\frac{1}{4}. In particular, we show that the Hausdorff dimension of the sample paths of the solution is min⁡{d,1H}\min\{d,\frac{1}{H}\} and that the Hausdorff dimension of the level set Lx={t∈[ε,1]:Xt=x}L_x=\{ t\in[ε,1]: X_t=x\} is 1−dH1-dH with positive probability when d<1Hd<\frac{1}{H}

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