August 2014
Intermediate to advanced
424 pages
11h 25m
English
Content preview from Brownian Motion, 2nd Edition
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10 Regularity of Brownian paths
We have seen in the previous chapter that Brownian paths are not Hölder continuous of any order α > 1/2. In particular, they are not Lipschitz continuous or differentiable. In this chapter we continue the study of smoothness properties and show that the paths are actually a. s. nowhere (in t) differentiable.
10.1 Hölder continuity
We begin with a rather general criterion for the continuity of a stochastic process. Later on, in connection with stochastic differential equations, we need the following version for random fields, i. e. stochastic processes with a multi-dimensional index set.
10.1 Theorem (Kolmogorov ...
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