Modern Stochastics: Theory and Applications

This short note is devoted to the “Fractality and Fractionality” workshop, held on 17–20 May 2016 in Lorentz Center (Leiden, Netherlands).

We study properties of distributions of random variables with independent identically distributed symbols of generalized Lüroth series (GLS) expansions (the family of GLS-expansions contains Lüroth expansion and $Q_{\infty }$- and ${G_{\infty }^{2}}$-expansions). To this end, we explore fractal properties of the family of Cantor-like sets $C[\mathit{GLS},V]$ consisting of real numbers whose GLS-expansions contain only symbols from some countable set $V\subset N\cup \{0\}$, and derive exact formulae for the determination of the Hausdorff–Besicovitch dimension of $C[\mathit{GLS},V]$. Based on these results, we get general formulae for the Hausdorff–Besicovitch dimension of the spectra of random variables with independent identically distributed GLS-symbols for the case where all but countably many points from the unit interval belong to the basis cylinders of GLS-expansions.

We study the weak limits of solutions to SDEs where the sequence $\{a_{n}\}$ converges in some sense to $(c_{-}\mathbb{1}_{x<0}+c_{+}\mathbb{1}_{x>0})/x+\gamma \delta _{0}$. Here $\delta _{0}$ is the Dirac delta function concentrated at zero. A limit of $\{X_{n}\}$ may be a Bessel process, a skew Bessel process, or a mixture of Bessel processes.

The main object of this paper is the planar wave equation with random source f. The latter is, in certain sense, a symmetric α-stable spatial white noise multiplied by some regular function σ. We define a candidate solution U to the equation via Poisson’s formula and prove that the corresponding expression is well defined at each point almost surely, although the exceptional set may depend on the particular point $(x,t)$. We further show that U is Hölder continuous in time but with probability 1 is unbounded in any neighborhood of each point where σ does not vanish. Finally, we prove that U is a generalized solution to the equation.

This paper is devoted to investigation of supremum of averaged deviations $|X(t)-f(t)-\int _{\mathbb{T}}(X(u)-f(u))\hspace{0.1667em}\mathrm{d}\mu (u)/\mu (\mathbb{T})|$ of a stochastic process from Orlicz space of random variables using the method of majorizing measures. An estimate of distribution of supremum of deviations $|X(t)-f(t)|$ is derived. A special case of the $L_{q}$ space is considered. As an example, the obtained results are applied to stochastic processes from the $L_{2}$ space with known covariance functions.