Hölder estimates for resolvents of time-changed Brownian motions

2021/03/03 by Kouhei Matsuura, Matsuura, Kouhei
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2103.02232

openalex publication_date 2021/03/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper studies time changes of Brownian motions by positive continuous additive functionals. Under a certain regularity condition on the associated Revuz measures, we prove that the resolvents of the time-changed Brownian motions are locally Hölder continuous in the spatial components. We also obtain lower bounds for the indice of the Hölder continuity.

Citations

• Foundations of Modern Probability

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