On more square root law for Brownian motion and its application to SPDEs
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.
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