# Parabolic Hausdorff dimension

In fractal geometry, the parabolic Hausdorff dimension is a restricted version of the genuine Hausdorff dimension. Only parabolic cylinders, i. e. rectangles with a distinct non-linear scaling between time and space are permitted as covering sets. It is useful to determine the Hausdorff dimension of self-similar stochastic processes, such as the geometric Brownian motion or stable Lévy processes plus Borel measurable drift function $f$.

## Definitions

We define the $\alpha$-parabolic $\beta$-Hausdorff outer measure for any set $A\subseteq \mathbb {R} ^{d+1}$ as
    ${\mathcal {P}}^{\alpha }-{\mathcal {H}}^{\beta }(A):=\lim _{\delta \downarrow 0}\inf \left\{\sum _{k=1}^{\infty }\left|P_{k}\right|^{\beta }:A\subseteq \bigcup _{k=1}^{\infty }P_{k},P_{k}\in {\mathcal {P}}^{\alpha },\left|P_{k}\right|\leq \delta \right\}.$
where the $\alpha$-parabolic cylinders $\left(P_{k}\right)_{k\in \mathbb {N} }$ are contained in
    ${\mathcal {P}}^{\alpha }:=\left\{[t,t+c]\times \prod _{i=1}^{d}\left[x_{i},x_{i}+c^{1/\alpha }\right];t,x_{i}\in \mathbb {R} ,c\in (0,1]\right\}.$
We define the $\alpha$-parabolic Hausdorff dimension of $A$ as
    ${\mathcal {P}}^{\alpha }-\dim A:=\inf \left\{\beta \geq 0:{\mathcal {P}}^{\alpha }-{\mathcal {H}}^{\beta }(A)=0\right\}.$
The case $\alpha =1$ equals the genuine Hausdorff dimension $\dim$.

## Application

Let $\varphi _{\alpha }:={\mathcal {P}}^{\alpha }-\dim {\mathcal {G}}_{T}(f)$. We can calculate the Hausdorff dimension of the fractional Brownian motion $B^{H}$ of Hurst index $1/\alpha =H\in (0,1]$ plus some measurable drift function $f$. We get
    $\dim {\mathcal {G}}_{T}\left(B^{H}+f\right)=\varphi _{\alpha }\wedge {\frac {1}{\alpha }}\cdot \varphi _{\alpha }+\left(1-{\frac {1}{\alpha }}\right)\cdot d$
and
    $\dim {\mathcal {R}}_{T}\left(B^{H}+f\right)=\varphi _{\alpha }\wedge d.$
For an isotropic $\alpha$-stable Lévy process $X$ for $\alpha \in (0,2]$ plus some measurable drift function $f$ we get
    $\dim {\mathcal {G}}_{T}(X+f)={\begin{cases}\varphi _{1},&\alpha \in (0,1],\\\varphi _{\alpha }\wedge {\frac {1}{\alpha }}\cdot \varphi _{\alpha }+\left(1-{\frac {1}{\alpha }}\right)\cdot d,&\alpha \in [1,2]\end{cases}}$
and
    $\dim {\mathcal {R}}_{T}\left(X+f\right)={\begin{cases}\alpha \cdot \varphi _{\alpha }\wedge d,&\alpha \in (0,1],\\\varphi _{\alpha }\wedge d,&\alpha \in [1,2].\end{cases}}$

## Inequalities and identities

For $\phi _{\alpha }:={\mathcal {P}}^{\alpha }-\dim A$ one has
    $\dim A\leq {\begin{cases}\phi _{\alpha }\wedge \alpha \cdot \phi _{\alpha }+1-\alpha ,&\alpha \in (0,1],\\\phi _{\alpha }\wedge {\frac {1}{\alpha }}\cdot \alpha +\left(1-{\frac {1}{\alpha }}\right)\cdot d,&\alpha \in [1,\infty )\end{cases}}$
and
    $\dim A\geq {\begin{cases}\alpha \cdot \phi _{\alpha }\vee \phi _{\alpha }+\left(1-{\frac {1}{\alpha }}\right)\cdot d,&\alpha \in (0,1],\\\phi _{\alpha }+1-\alpha ,&\alpha \in [1,\infty ).\end{cases}}$
Further, for the fractional Brownian motion $B^{H}$ of Hurst index $1/\alpha =H\in (0,1]$ one has
    ${\mathcal {P}}^{\alpha }-\dim {\mathcal {G}}_{T}\left(B^{H}\right)=\alpha \cdot \dim T$
and for an isotropic $\alpha$-stable Lévy process $X$ for $\alpha \in (0,2]$ one has
    ${\mathcal {P}}^{\alpha }-\dim {\mathcal {G}}_{T}\left(X\right)=(\alpha \vee 1)\cdot \dim T$
and
    $\dim {\mathcal {R}}_{T}(X)=\alpha \cdot \dim T\wedge d.$
For constant functions $f_{C}$ we get
    ${\mathcal {P}}^{\alpha }-\dim {\mathcal {G}}_{T}\left(f_{C}\right)=(\alpha \vee 1)\cdot \dim T.$
If $f\in C^{\beta }(T,\mathbb {R} ^{d})$, i. e. $f$ is $\beta$-Hölder continuous, for $\varphi _{\alpha }={\mathcal {P}}^{\alpha }-\dim {\mathcal {G}}_{T}(f)$ the estimates
    $\varphi _{\alpha }\leq {\begin{cases}\dim T+\left({\frac {1}{\alpha }}-\beta \right)\cdot d\wedge {\frac {\dim T}{\alpha \cdot \beta }}\wedge d+1,&\alpha \in (0,1],\\\alpha \cdot \dim T+(1-\alpha \cdot \beta )\cdot d\wedge {\frac {\dim T}{\beta }}\wedge d+1,&\alpha \in \left[1,{\frac {1}{\beta }}\right],\\\alpha \cdot \dim T+{\frac {1}{\beta }}(\dim T-1)+\alpha \wedge d+1,&\alpha \in \left[{\frac {1}{\beta }},\infty )\right]\end{cases}}$
hold.
Finally, for the Brownian motion $B$ and $f\in C^{\beta }\left(T,\mathbb {R} ^{d}\right)$ we get
    $\dim {\mathcal {G}}_{T}(B+f)\leq {\begin{cases}d+{\frac {1}{2}},&\beta \leq {\frac {\dim T}{d}}-{\frac {1}{2d}},\\\dim T+(1-\beta )\cdot d,&{\frac {\dim T}{d}}-{\frac {1}{2d}}\leq \beta \leq {\frac {\dim T}{d}}\wedge {\frac {1}{2}},\\{\frac {\dim T}{\beta }},&{\frac {\dim T}{d}}\leq \beta \leq {\frac {1}{2}},\\2\cdot \dim T\wedge \dim T+{\frac {d}{2}},&{\text{ else}}\end{cases}}$
and
    $\dim {\mathcal {R}}_{T}(B+f)\leq {\begin{cases}{\frac {\dim T}{\beta }},&{\frac {\dim T}{d}}\leq \beta \leq {\frac {1}{2}},\\2\cdot \dim T\wedge d,&{\frac {\dim T}{d}}\leq {\frac {1}{2}}\leq \beta ,\\d,&{\text{ else}}.\end{cases}}$