Joint continuity of the local times of fractional Brownian sheets

DOI10.1214/07-AIHP131MaRDI QIDQ731695zbMATHOpenAlexFDO

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)

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

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)

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 $B^H$.

Recommendations

• Local times of fractional Brownian sheets
• Some results on fractional Brownian sheets and their local times
• Mixed fractional Brownian sheets and their applications
• Linear multifractional stable sheets in the broad sense: existence and joint continuity of local times
• Local times of multifractional Brownian sheets

Cites work

• scientific article; zbMATH DE number 3751955 (Why is no real title available?)
• scientific article; zbMATH DE number 3594385 (Why is no real title available?)
• scientific article; zbMATH DE number 1981888 (Why is no real title available?)
• scientific article; zbMATH DE number 3014822 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• A Relation between Hausdorff Dimension and a Condition on Time Sets for the Image by the Brownian Sheet to Possess Interior Points
• A law of the iterated logarithm for fractional Brownian motions
• A local time analysis of intersections of Brownian paths in the plane
• An iterated logarithm law for local time
• Anisotropic analysis of some Gaussian models
• Asymptotic properties and Hausdorff dimensions of fractional Brownian sheets
• Estimates for the small ball probabilities of the fractional Brownian sheet
• Fractional Brownian sheet
• Functions continuous and singular with respect to a Hausdorff measure
• Gaussian Sample Functions: Uniform Dimension and Hölder Conditions Nowhere
• Geometric properties of fractional Brownian sheets
• Hausdorff measure of trajectories of multiparameter fractional Brownian motion
• Hölder conditions for the local times and the Hausdorff measure of the level sets of Gaussian random fields
• Images of the Brownian sheet
• Joint continuity of Gaussian local times
• Local Times and Sample Function Properties of Stationary Gaussian Processes
• Local times of additive Lévy processes.
• Local times of fractional Brownian sheets
• Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations
• Multiparameter Processes
• Occupation densities
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
• Sample function properties of multi-parameter stable processes
• Sectorial local non-determinism and the geometry of the Brownian sheet
• Self-intersections of random fields
• Small deviations for some multi-parameter Gaussian processes

Cited in

(34)

• Hausdorff dimension of the boundary of bubbles of additive Brownian motion and of the Brownian sheet
• Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients
• Fractional Brownian sheets run with nonlinear clocks
• Some results on fractional Brownian sheets and their local times
• Multi-fractional generalized Cauchy process and its application to teletraffic
• Exact moduli of continuity for operator-scaling Gaussian random fields
• Local times of linear multifractional stable sheets
• scientific article; zbMATH DE number 4166210 (Why is no real title available?)
• Self-intersection local times and collision local times of bifractional Brownian motions
• The two-parameter Volterra multifractional process
• Generalized Cauchy model of sea level fluctuations with long-range dependence
• Joint continuity of the local times of linear fractional stable sheets
• Record length requirement of long-range dependent teletraffic
• Properties of strong local nondeterminism and local times of stable random fields
• Fractal teletraffic delay bounds in computer networks
• Linear multifractional stable sheets in the broad sense: existence and joint continuity of local times
• Local times of fractional Brownian sheets
• Smoothness of local times and self-intersection local times of Gaussian random fields
• The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism
• Wavelet series representation and geometric properties of harmonizable fractional stable sheets
• Uniform dimension results for Gaussian random fields
• Asymptotic properties of integral functionals of fractional Brownian fields
• Continuity in the Hurst index of the local times of anisotropic Gaussian random fields
• Approximation of fractional local times: zero energy and derivatives
• On Besov regularity and local time of the solution to the stochastic heat equation
• Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation
• Local times of multifractional Brownian sheets
• Mixed fractional Brownian sheets and their applications
• Sample path properties of bifractional Brownian motion
• Additive functionals of the solution to fractional stochastic heat equation
• Regularity of intersection local times of fractional Brownian motions
• Collision local times of two independent fractional Brownian motions
• Sample paths properties of the set-indexed fractional Brownian motion
• Sobolev regularity of occupation measures and paths, variability and compositions

This page was built for publication: Joint continuity of the local times of fractional Brownian sheets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q731695)