On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model

Details On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model

2007-03-04

arxiv.org/abs/math/0703100v1

Mathematics

Probability

38 pages

Scientific paper

We study the pathwise regularity of the map $$ \phi \mapsto I(\phi) = \int_0^T < \phi(X_t), dX_t>$$ where $\phi$ is a vector function on $\R^d$ belonging to some Banach space $V$, $X$ is a stochastic process and the integral is some version of a stochastic integral defined via regularization. A \emph{stochastic current} is a continuous version of this map, seen as a random element of the topological dual of $V$. We give sufficient conditions for the current to live in some Sobolev space of distributions and we provide elements to conjecture that those are also necessary. Next we verify the sufficient conditions when the process $X$ is a $d$-dimensional fractional Brownian motion (fBm); we identify regularity in Sobolev spaces for fBm with Hurst index $H \in (1/4,1)$. Next we provide some results about general Sobolev regularity of Brownian currents. Finally we discuss applications to a model of random vortex filaments in turbulent fluids.

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