2009-11-18Buch DOI: 10.18452/4223
Polar sets of anisotropic Gaussian random fields
This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random field is dominated by an anisotropic metric. We deduce an upper bound for the hitting probabilities and conclude that sets with small Hausdorff dimension are polar. Moreover, the results allow for a translation of the Gaussian random field by a random field, that is independent of the Gaussian random field and whose sample functions are of bounded Hölder norm.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 58, SFB 649 Papers, ISSN:1860-5664