Uniform in time modulus of continuity of Brownian motion
Résumé
Let $B=(B_t)_{t\geq 0}$ be a standard Brownian motion. The main objective is to find a uniform (in time) control of the modulus of continuity of $B$ in the spirit of what appears in (Kurtz, 1978). More precisely, it involves the control of the exponential moments of the random variable $\sup_{0\leq s\leq t} |B_t-B_s|/w(t,|t-s|)$ for a suitable function $w$. A stability inequality for diffusion processes is then derived and applied to two simple frameworks.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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