Parabolic fractal geometry of stable Lévy processes with drift

Abstract

We explicitly calculate the Hausdorff dimension of the graph and range of an isotropic stable Lévy process $X$ plus deterministic drift function $f$. For that purpose we use a restricted version of the genuine Hausdorff dimension, which is called the parabolic Hausdorff dimension. It turns out that covers by parabolic cylinders are optimal for treating self-similar processes, since their distinct non-linear scaling between time and space geometrically matches the self-similarity of the processes. We provide explicit formulas for the Hausdorff dimension of the graph and the range of $X+f$. In sum, the parabolic Hausdorff dimension of the drift term $f$ alone contributes to the Hausdorff dimension of $X+f$. Furthermore, we derive some formulas and bounds for the parabolic Hausdorff dimension.