Joint continuity of the local times of fractional Brownian sheets

Ayache, Antoine; Wu, Dongsheng; Xiao, Yimin

Joint continuity of the local times of fractional Brownian sheets

Authors

Ayache, Antoine

Wu, Dongsheng

Xiao, Yimin

Description

Let $B^H=\{B^H(t),t\in{\mathbb{R}_+^N}\}$ be an $(N,d)$-fractional Brownian sheet with index $H=(H_1,...,H_N)\in(0,1)^N$ defined by $B^H(t)=(B^H_1(t),...,B^H_d(t)) (t\in {\mathbb{R}}_+^N),$ where $B^H_1,...,B^H_d$ are independent copies of a real-valued fractional Brownian sheet $B_0^H$. We prove that if $d<\sum_{\ell=1}^NH_{\ell}^{-1}$, 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 Hölder conditions for the local times of $B^H$. These results are applied to study analytic and geometric properties of the sample paths of $B^H$.
Published in at http://dx.doi.org/10.1214/07-AIHP131 the Annales de l'Institut Henri Poincaré - Probabilités et Statistiques (http://www.imstat.org/aihp/) by the Institute of Mathematical Statistics (http://www.imstat.org)