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Title:Polar sets of anisotropic Gaussian random fields PDF Logo
Authors:Söhl, Jakob
Issue Date:2009
Series/Report no.:SFB 649 discussion paper 2009,058
Abstract: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.
Subjects:Anisotropic Gaussian fields
Hitting probabilities
Polar sets
Hausdorff dimension
European option
Jump diffusion
Calibration
JEL:G13
C14
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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