English

A regularity property of fractional Brownian sheets

Probability 2024-01-30 v1 Analysis of PDEs

Abstract

A function ff defined on [0,1]d[0, 1]^d is called strongly chargeable if there is a continuous vector-field vv such that f(x1,,xd)f(x_1, \dots,x_d) equals the flux of vv through the rectangle [0,x1]××[0,xd][0, x_1] \times \cdots \times [0, x_d] for all (x1,,xd)[0,1]d(x_1, \dots, x_d) \in [0, 1]^d. In other words, ff is the primitive of the divergence of a continuous vector-field. We prove that the sample paths of the Brownian sheet with d2d \geq 2 parameters are almost surely not strongly chargeable. On the other hand, those of the fractional Brownian sheet of Hurst parameter (H1,,Hd)(H_1, \dots, H_d) are shown to be almost surely strongly chargeable whenever H1++Hdd>d1d. \frac{H_1 + \cdots + H_d}{d} > \frac{d - 1}{d}.

Keywords

Cite

@article{arxiv.2401.15427,
  title  = {A regularity property of fractional Brownian sheets},
  author = {Philippe Bouafia and Thierry De Pauw},
  journal= {arXiv preprint arXiv:2401.15427},
  year   = {2024}
}