English

Uniform in time modulus of continuity of Brownian motion

Probability 2025-07-22 v2

Abstract

Let B=(Bt)t0B=(B_t)_{t\geq 0} be a standard Brownian motion. The main objective is to find a uniform (in time) control of the modulus of continuity of BB in the spirit of what appears in (Kurtz, 1978). More precisely, it involves the control of the exponential moments of the random variable sup0stBtBs/w(t,ts)\sup_{0\leq s\leq t} |B_t-B_s|/w(t,|t-s|) for a suitable function ww. A stability inequality for diffusion processes is then derived and applied to two simple frameworks.

Keywords

Cite

@article{arxiv.2312.15931,
  title  = {Uniform in time modulus of continuity of Brownian motion},
  author = {Julien Chevallier},
  journal= {arXiv preprint arXiv:2312.15931},
  year   = {2025}
}