Joint continuity of the local times of fractional Brownian sheets

DOI10.1214/07-AIHP131zbMATH Open1180.60032arXiv0808.3054OpenAlexW2088186138MaRDI QIDQ731695FDOQ731695

Authors: Antoine Ayache, Y. Xiao, Dongsheng Wu 

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Let $B^H=B^H(t),tin{mathbbR}_{+}^N$ be an $(N,d)$-fractional Brownian sheet with index $H=(H_1,\mathrm{...},H_N)in(0,1{)}^N$ defined by $B^H(t)=(B_1^H(t),\mathrm{...},B_d^H(t))(tin{mathbbR}_{+}^N),$ where $B_1^H,\mathrm{...},B_d^H$ are independent copies of a real-valued fractional Brownian sheet $B_0^H$. We prove that if $d<su{m}_{ell=1}^N{H}_{ell}^{-1}$, then the local times of $B^H$ are jointly continuous. This verifies a conjecture of Xiao and Zhang (Probab. Theory Related Fields 124 (2002)). We also establish sharp local and global H"{o}lder conditions for the local times of $B^H$. These results are applied to study analytic and geometric properties of the sample paths of $B^H$.

Full work available at URL: https://arxiv.org/abs/0808.3054

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zbMATH Keywords

fractional Brownian motionlocal timesfractional Brownian sheetjoint continuityLiouville fractional Brownian sheetsectorial local nondeterminismHölder conditions

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

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Cited In (34)

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• Local times of multifractional Brownian sheets
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