On Besov regularity of Brownian motions in infinite dimensions

zbMATH Open1136.60358arXiv0801.2959MaRDI QIDQ5454099FDOQ5454099

Mark Veraar, Tuomas Hytönen

Publication date: 3 April 2008

Abstract: We extend to the vector-valued situation some earlier work of Ciesielski and Roynette on the Besov regularity of the paths of the classical Brownian motion. We also consider a Brownian motion as a Besov space valued random variable. It turns out that a Brownian motion, in this interpretation, is a Gaussian random variable with some pathological properties. We prove estimates for the first moment of the Besov norm of a Brownian motion. To obtain such results we estimate expressions of the form $Esu{p}_{ngeq1}|x{i}_n|$, where the $x{i}_n$ are independent centered Gaussian random variables with values in a Banach space. Using isoperimetric inequalities we obtain two-sided inequalities in terms of the first moments and the weak variances of $x{i}_n$.

Full work available at URL: https://arxiv.org/abs/0801.2959

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zbMATH Keywords

sample pathmaximal estimatesnon-separable Banach spaceBesov-Orlicz norm

Mathematics Subject Classification ID

Brownian motion (60J65) General second-order stochastic processes (60G12) Spaces of vector- and operator-valued functions (46E40) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cited In (25)

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