On more square root law for Brownian motion and its application to SPDEs (Q1434293)

The author is interested in the regularity of the solution of the heat equation with Brownian trajectory and a shift of it as lateral boundaries. He proves the Hölder continuity up to the boundary of the solution with the help of a square root law for Brownian motion. This law states that a.s. for any \(t\in [0,1]\), the trajectory of Brownian motion after time \(t\) is contained in a parallel shift of the box \([0,2^{-k}] \times [0,c2^{-k/2}]\) for \(k\) belonging to a set of positive lower density when \(c\) is large enough. An application is given to the regularity at the boundary of a stochastic partial differential equation with ordinary boundary conditions.