Critical Brownian sheet does not have double points

DOI10.1214/11-AOP665MaRDI QIDQ439888zbMATH OpenOpenAlexFDO

Authors Robert C. Dalang, D. Khoshnevisan, Eulalia Nualart, Y. Xiao, Dongsheng Wu

Publication date 17 August 2012

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.0235, https://projecteuclid.org/euclid.aop/1341401150

zbMATH Keywords

Brownian sheet capacity conditional potential theory Hausdorff dimension multiple points pinned sheet

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Probabilistic potential theory (60J45)

Abstract: We derive a decoupling formula for the Brownian sheet which has the following ready consequence: An

N

-parameter Brownian sheet in

m a t h b f R^{d}

has double points if and only if

d < 4 N

. In particular, in the critical case where

d = 4 N

, the Brownian sheet does not have double points. This answers an old problem in the folklore of the subject. We also discuss some of the geometric consequences of the mentioned decoupling, and establish a partial result concerning

k

-multiple points in the critical case

k (d - 2 N) = d

.

Review text

Let \[ T = \{ ( s , t ) ; \in ( 0 , \infty ) ^{2 N } , s _{i } \neq t _{i } , i = 1 , \dotsc , N \}, \] let \(B\) be a \(N\)-parameter \(\mathbb{R}^{d }\)-Brownian sheet, \(\emptyset \neq A \subset \mathbb{R}^{d }\), \(W _{1 }\), \(W _{2 }\) other, independent, \(N\)-parameter \(\mathbb{R}^{d }\) Brownian sheets. The main result states that \[ \operatorname{P}(\text{exists } ( u _{1 } , u _{2 } ) \in T , B ( u _{1 } ) = B ( u _{2 } ) \in A ) > 0 \] is equivalent to \[ \operatorname{P} (\text{exists}\; (u_{1},u_{2})\in T , W _{1 } ( u _{1 } ) = W _{2 } ( u _{2 } ) \in A ) > 0. \] A tool used are ``pinned sheets \(B _{s } ( t ) = B(t)-E ( B ( t ) ; B ( s ) )\). This yields the following corollaries. 1. If \[ M _{2 } = \{ x : \text{exists } s \neq t \text{ in }( 0 , \infty )^{N }\text{ with } B ( s ) = B(t)=x\} \] (the set of double points of \(B\)), then \(\operatorname{P} ( M _{2 } \cap A \neq \emptyset ) > 0\) holds for all \(A \neq \emptyset\) if \(d<2N\), is equivalent to \(\operatorname{Cap}_{2 ( d - 2 N ) } ( A ) > 0\) if \(d > 2 N\) and, if \(d = 2 N\), is equivalent to the existence of a probability \(\mu\) with compact support \(\subset A\) and \[ \int \int |\log _{+ } ( | x-y | ^{- 1 } ) | ^{2 } d \mu ( x ) d \mu ( y ) < \infty. \] \(\operatorname{Cap}_{\beta } ( A ) ^{- 1 }\) is defined as \[ \inf \int \int k _{\beta } ( x-y ) d \mu ( x ) d \mu ( y ) \] over all probabilities \(\mu\) with compact support \(\subset A\), \(k _{\beta } ( x ) = \| x \| ^{- \beta }\) for \(\beta > 0\), \(\log _{+ } ( \| x \| ^{- 1 } )\) for \(\beta = 0\), \(1\) for \(\beta < 0\). 2. \(B\) has double points if and only if \(d < 4 N\). \(M _{2 }\) has a.s. positive Lebesgue measure if and only if \(d < 2 N\). 3. Define \(s < _{\pi } t\) for \(s , t \in \mathbb{R}^{N }\), \(\pi \subset \{ 1 , \dotsc , n \} \) as \(s _{i } \leq t _{i }\) for \(i \in \pi\) and \(s _{i } \geq t _{i }\) for \(i \notin \pi\), \(s < < _{\pi } t\) if \(s < _{\pi } t\) and \(s _{i } \neq t _{i }\) for all \(i\), \(M _{k }^{ \sim }\) as the set of all \(x \in \mathbb{R}^{d }\) with \(B ( s _{1 } ) = \dotsb = B ( s _{k } ) = x\) for some \(\pi\) and some \(s _{1 } < < _{\pi } \dotsb < < _{\pi } s _{k }\). Then \(P ( M _{k } ^{ \sim } \cap A \neq \emptyset ) > 0\) if and only if \(\operatorname{Cap} _{k ( d - 2 N )} ( A ) > 0\). 4. If the Hausdorff dimension \(\dim _{H } A\) of \(A\) is \(< 2 ( d-2 N )\), then, a.s., \(A\) does not contain double points; in the contrary case, \(\| \dim _{H } ( M _{2 } \cap A ) \| _{\infty } = \dim _{H } A-2 ( d-2 N )\). The main technical result is as follows. If \[ \Theta = \prod _{j = 1 }^{N } [ a _{j }, b _{j }] \subset ( 0 , \infty ) ^{N } \] and if \[ \pi \subset \{ 1 , \dotsc , N \},\;s \in ( 0 , \infty ) ^{N } \backslash \Theta,\;s < _{\pi } t \] for all \[ t \in \Theta,\;{\mathcal F} _{\pi} ( s ) = {\mathcal B} ( B ( u ) ; u < _{\pi } s ), \] then, if \(A\) is a bounded random set, with \({\mathcal F} _{\pi } ( s ) \otimes {\mathcal B} (\mathbb{R}^{d })\) measurable \(\chi _{A ( \omega ) } ( x )\) in \(( \omega , x )\), the random sets \((\operatorname{Cap}_{d - 2 N } ( A ) > 0 )\) and the set on which the expectation \(\operatorname{E} (\cdot ; {\mathcal F} _{\pi } ( s ))\) of ``there exists \(u\in \Theta\) with \(B ( u ) \in A \) is non-negative differ by a null set, a.s. A stochastic variant of the definition of \(\operatorname{Cap}_{\beta } A\) (for fixed \(\beta\)) is proved.

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