Joint continuity of the local times of fractional Brownian sheets (Q731695)

This paper is concerned with regularity of the local times of an \((N,d)\)-fractional Brownian sheet \(B^{H}=\{ B^H (t), t \in \mathbb{R} ^{N}_{+}\}\) with index \(H= ( H_1, \ldots, H_N)\in (0,1)^N\). It is defined by \(B^H(t)=(B^{H}_{1}(t), \ldots, B^{H}_{d}(t))\) \((t\in \mathbb{R}^{N}_{+})\), where \(B^{H}_{1}, \ldots, B^{H}_{d}\) are indepedent copies of a real-valued fractional Brownian sheet \(B^{H}_{0}.\) After having proved that a necessary and sufficient condition for the existence of \(L^2 ( \mathbb{P} \times \lambda_d )\) local times of \(B^H\) is \(d < \sum^{N}_{\ell = 1} 1/H_{\ell}\). \textit{Y. Xiao} and \textit{T. Zhang} [Probab. Theory Relat. Fields 124, No. 2, 204--226 (2002; Zbl 1009.60024)] gave a sufficient condition for the joint continuity of the local times. However, their sufficient condition is not sharp and they have conjectured that \(B^H\) has jointly continuous local times whenever the condition \(d < \sum^{N}_{\ell = 1} 1/H_{\ell} \) is satisfied. The main object of this paper is to verify this conjecture. In Section 2, authors prove some basic results on the fractional Liouville sheets that will be useful to the further arguments. In Section 3, authors prove that the sufficient condition for the existence of \(L^2 ( \mathbb{P} \times \lambda_d)\) local times of \(B^H\) in Xiao and Zhang's paper actually implies the joint continuity of the local times. Section 4 is on the local and uniform Hölder conditions for the local times and their implications to sample path properties of \(B^H\).