Long time Hurst regularity of fractional SDEs and their ergodic means

arXiv2206.06648MaRDI QIDQ6402013FDOQ6402013

Alexandre Richard, El Mehdi Haress

Publication date: 14 June 2022

Abstract: The fractional Brownian motion can be considered as a Gaussian field indexed by $(t,H)inmathbb{R}_{+}imes(0,1)$, where $H$ is the Hurst parameter. On compact time intervals, it is known to be almost surely jointly H"older continuous in time and Lipschitz continuous in $H$. First, we extend this result to the whole time interval $mathbb{R}_{+}$ and consider both simple and rectangular increments. Then we consider SDEs driven by fractional Brownian motion with contractive drift. The solutions and their ergodic means are proven to be almost surely H"older continuous in $H$, uniformly in time. This result is used in a separate work for statistical applications. The proofs are based on variance estimates of the increments of the fractional Brownian motion and fractional Ornstein-Uhlenbeck processes, multiparameter versions of the Garsia-Rodemich-Rumsey lemma and a combinatorial argument to estimate the expectation of a product of Gaussian variables.

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10)

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