On the Variational Regularity of Cameron-Martin paths

Authors Peter Friz, Benjamn Gess, Sebastian Riedel

Publication date 13 May 2013

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Applications of functional analysis in probability theory and statistics (46N30) Sample path properties (60G17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special case of fractional Brownian motion (think: 2H=1/rho), in the rougher than Brownian regime, a sharper result holds thanks to a Besov-type embedding [Friz-Victoir, JFA, 2006]. In the present note we give a general result which closes this gap. We comment on the importance of this result for various applications.

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