Lecture 19 : Brownian motion: Path properties I

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Lecture 19 : Brownian motion: Path properties I MATH275B - Winter 2012 Lecturer: Sebastien Roch References: [Dur10, Section 8.1], [Lig10, Section 1.5, 1.6], [MP10, Section 1.1, 1.2]. 1 Invariance We begin with some useful invariance properties. The following are immediate. THM 19.1 (Time translation) Let s 0. If B(t) is a standard Brownian motion, then so is X(t) = B(t + s) B(s). THM 19.2 (Scaling invariance) Let a > 0. If B(t) is a standard Brownian motion, then so is X(t) = a 1 B(a 2 t). Proof: Sketch. We compute the variance of the increments: Var[X(t) X(s)] = Var[a 1 (B(a 2 t) B(a 2 s))] = a 2 (a 2 t a 2 s) = t s. THM 19.3 (Time inversion) If B(t) is a standard Brownian motion, then so is 0, t = 0, X(t) = tb(t 1 ), t > 0. Proof: Sketch. We compute the covariance function for s < t: Cov[X(s), X(t)] = Cov[sB(s 1 ), tb(t 1 )] = st ( s 1 t 1) = s. 1

Lecture 19: Brownian motion: Path properties I 2 It remains to check continuity at 0. Note that } lim B(t) = 0 = B(t) 1/m, t Q (0, 1/n)}, t 0 m 1 n 1 and } lim X(t) = 0 t 0 = m 1 X(t) 1/m, t Q (0, 1/n)}. n 1 The RHSs have the same probability because the distributions on all finite-dimensional sets and therefore on the rationals are the same. The LHS of the first one has probability 1. Typical applications of these are: COR 19.4 For a < 0 < b, let Then T (a, b) = inf t 0 : B(t) a, b}}. E[T (a, b)] = a 2 E[T (1, b/a)]. In particular, E[T ( b, b)] is a constant multiple of b 2. Proof: Let X(t) = a 1 B(a 2 t). Then, E[T (a, b)] = a 2 E[inft 0, : X(t) 1, b/a}}] = a 2 E[T (1, b/a)]. COR 19.5 Almost surely, t 1 B(t) 0. Proof: Let X(t) be the time inversion of B(t). Then B(t) lim = lim X(1/t) = X(0) = 0. t t t

Lecture 19: Brownian motion: Path properties I 3 2 Modulus of continuity By construction, B(t) is continuous a.s. In fact, we can prove more. DEF 19.6 (Hölder continuity) A function f is said locally α-hölder continuous at x if there exists ε > 0 and c > 0 such that f(x) f(y) c x y α, for all y with y x < ε. We refer to α as the Hölder exponent and to c as the Hölder constant. THM 19.7 (Holder continuity) If α < 1/2, then almost surely Brownian motion is everywhere locally α-hölder continuous. Proof: LEM 19.8 There exists a constant C > 0 such that, almost surely, for every sufficiently small h > 0 and all 0 t 1 h, B(t + h) B(t) C h log(1/h). Proof: Recall our construction of Brownian motion on [0, 1]. Let and D n = k2 n : 0 k 2 n }, D = D n. Note that D is countable and consider Z t } t D a collection of independent standard Gaussians. Let Z 1, t = 1, F 0 (t) = 0, t = 0, linearly, in between. and for n 1 Finally 2 (n+1)/2 Z t, t D n \D n 1, F n (t) = 0, t D n 1, linearly, in between. B(t) = F n (t).

Lecture 19: Brownian motion: Path properties I 4 Each F n is piecewise linear and its derivative exists almost everywhere. By construction, we have F n F n 2 n. Recall that there is N (random) such that Z d < c n for all d D n with n > N. In particular, for n > N we have F n < c n2 (n+1)/2. Using the mean-value theorem, assuming l > N, B(t + h) B(t) F n (t + h) F n (t) l h F n + h n=l+1 N F n + ch 2 F n, l n2 n/2 + 2c n=n n=l+1 n2 n/2. Take h small enough that the first term is smaller than h log(1/h) and l defined by 2 l < h 2 l+1 exceeds N. Then approximating the second and third terms by their largest element gives the result. We go back to the proof of the theorem. For each k, we can find an h(k) small enough so that the result applies to the standard BMs and B(k + t) B(k) : t [0, 1]}, B(k + 1 t) B(k + 1) : t [0, 1]}. Since there are countably many intervals [k, k +1), such h(k) s exist almost surely on all intervals simultaneously. Then note that for any α < 1/2, if t [k, k + 1) and h < h(k) small enough, B(t + h) B(t) C h log(1/h) Ch α (= Ch 1/2 (1/h) (1/2 α) ). This concludes the proof. In fact: THM 19.9 (Lévy s modulus of continuity) Almost surely, lim sup h 0 sup 0 t 1 h B(t + h) B(t) 2h log(1/h) = 1. For the proof, see [MP10]. This result is tight. See [MP10, Remark 1.21].

Lecture 19: Brownian motion: Path properties I 5 3 Non-Monotonicity THM 19.10 Almost surely, for all 0 < a < b < +, standard BM is not monotone on the interval [a, b]. Proof: It suffices to look at intervals with rational endpoints because any general non-degenerate interval of monotonicity must contain one of those. Since there are countably many rational intervals, it suffices to prove that any particular one has probability 0 of being monotone. Let [a, b] be such an interval. Note that for any finite sub-division a = a 0 < a 1 < < a n 1 < a n = b, the probability that each increment satisfies B(a i ) B(a i 1 ) 0, i = 1,..., n, or the same with negative, is at most ( ) 1 n 2 0, 2 as n by symmetry of Gaussians. More generally, we can prove the following. For a proof see [Lig10]. THM 19.11 Almost surely, BM satisfies: 1. The set of times at which local maxima occur is dense. 2. Every local maximum is strict. 3. The set of local maxima is countable. Proof: Part (3). We use part (2). If t is a strict local maximum, it must be in the set + n=1 t : B(t, ω) > B(s, ω), s, s t < n 1 }. But for each n, the set must be countable because two such t s must be separated by n 1. So the union is countable. Further reading Other constructions in [Dur10, Section8.1] and [Lig10, Section 1.5]. Proof of modulus of continuity [MP10, Theorem 1.14].

Lecture 19: Brownian motion: Path properties I 6 References [Dur10] Rick Durrett. Probability: theory and examples. Cambridge Series in Statistical and Probabilistic Mathematics. Cambridge University Press, Cambridge, fourth edition, 2010. [Lig10] Thomas M. Liggett. Continuous time Markov processes, volume 113 of Graduate Studies in Mathematics. American Mathematical Society, Providence, RI, 2010. An introduction. [MP10] Peter Mörters and Yuval Peres. Brownian motion. Cambridge Series in Statistical and Probabilistic Mathematics. Cambridge University Press, Cambridge, 2010. With an appendix by Oded Schramm and Wendelin Werner.