On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
Flandoli, Franco ; Gubinelli, Massimiliano ; Russo, Francesco
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 545-576 / Harvested from Project Euclid
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We study the pathwise regularity of the map ¶ φ↦I(φ)=∫0T〈φ(Xt), dXt〉, ¶ where φ is a vector function on ℝd 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 continuous version of this map, seen as a random element of the topological dual of V will be called stochastic current. 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∈(1/4, 1). Next we provide some results about general Sobolev regularity of currents when W is a standard Wiener process. Finally we discuss applications to a model of random vortex filaments in turbulent fluids.
Publié le : 2009-05-15
Classification:  Pathwise stochastic integrals,  Currents,  Forward and symmetric integrals,  Fractional Brownian motion,  Vortex filaments,  76M35,  60H05,  60H30,  60G18,  60G15,  60G60,  76F55 
@article{1241024680,
     author = {Flandoli, Franco and Gubinelli, Massimiliano and Russo, Francesco},
     title = {On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 545-576},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1241024680}
}

Flandoli, Franco; Gubinelli, Massimiliano; Russo, Francesco. On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  545-576. http://gdmltest.u-ga.fr/item/1241024680/