Introduction
Spatial averages of stochastic partial differential equations (SPDEs) are known to exhibit macroscopic Gaussian fluctuations, i.e. they satisfy a central limit theorem. For the Kardar-Parisi-Zhang (KPZ) equation with narrow wedge initial data, finite-dimensional convergence is known from [21 ] , but temporal increments require separate control to obtain convergence of paths. The corresponding functional limit theorem has been left open in [21 ] . The goal of this article is to prove the needed tightness on compact time intervals bounded away from zero.
A starting point for central limit theorems for spatial averages is the work of [23 ] on the stochastic heat equation (SHE) with flat initial condition u ( 0 , x ) = 1 u(0, x) = 1 u ( 0 , x ) = 1 and a Lipschitz noise coefficient σ \sigma σ . In the linear case σ ( u ) = u \sigma(u)=u σ ( u ) = u , this is the parabolic Anderson model (PAM):
∂ t u ( t , x ) = 1 2 ∂ x 2 u ( t , x ) + u ( t , x ) ξ ( t , x ) , t > 0 , x ∈ R , u ( 0 , ⋅ ) = 1. (1) \partial_t u(t,x)=\frac{1}{2}\partial_x^2u(t,x)+u(t,x)\xi(t,x),\qquad t>0,x\in\mathbb{R},\qquad u(0,\cdot)=1. \tag*{(1)} ∂ t u ( t , x ) = 2 1 ∂ x 2 u ( t , x ) + u ( t , x ) ξ ( t , x ) , t > 0 , x ∈ R , u ( 0 , ⋅ ) = 1. (1)
The mild solution of (1) is a jointly measurable, ( F t ) (\mathcal{F}_t) ( F t ) -adapted random field satisfying
u ( t , x ) = 1 + ∫ 0 t ∫ R p t − s ( x − y ) u ( s , y ) ξ ( d s , d y ) , u(t,x)=1+\int_0^t\int_{\mathbb{R}}p_{t-s}(x-y)u(s,y)\xi(\mathrm{d}s,\mathrm{d}y), u ( t , x ) = 1 + ∫ 0 t ∫ R p t − s ( x − y ) u ( s , y ) ξ ( d s , d y ) ,
where the integral is interpreted in the Itô sense, ( F t ) t ≥ 0 (\mathcal{F}_t)_{t\geq0} ( F t ) t ≥ 0 is the filtration induced by ξ \xi ξ (given by (9) below), and p t ( x ) p_t(x) p t ( x ) is the heat kernel:
p t ( x ) = 1 2 π t exp ( − ∣ x ∣ 2 2 t ) . p_t(x)=\frac{1}{\sqrt{2\pi t}}\exp\left(-\frac{|x|^2}{2t}\right). p t ( x ) = 2 π t 1 exp ( − 2 t ∣ x ∣ 2 ) .
The authors of [23 ] studied the asymptotic behaviour as N → ∞ N\to\infty N → ∞ of the spatial average :
F N ( t ) = ∫ 0 N ( u ( t , x ) − 1 ) d x . F_N(t)=\int_0^N\bigl(u(t,x)-1\bigr)\mathrm{d}x. F N ( t ) = ∫ 0 N ( u ( t , x ) − 1 ) d x .
Their study was motivated by the fact that, after proper normalization, F N ( t ) F_N(t) F N ( t ) is asymptotically equivalent to F N ∗ ( t ) F_N^*(t) F N ∗ ( t ) , the spatial average of the solution u N ∗ ( t , x ) u_N^*(t,x) u N ∗ ( t , x ) of a localized version of the original equation, which has the property that { u N ∗ ( t , x i ) } i ≥ 1 \{u_N^*(t,x_i)\}_{i\geq1} { u N ∗ ( t , x i ) } i ≥ 1 are independent if the x i x_i x i ’s are far from each other. The precise meaning of this localization was given in [16 ] . By writing the interval [ 0 , N ] [0,N] [ 0 , N ] as a union of alternating big and small blocks, we obtain enough spacing between the big blocks to prove a central limit theorem (CLT). The small blocks become asymptotically negligible. The normalization is given by the variance of F N ( t ) F_N(t) F N ( t ) . Since { u ( t , x ) } x ∈ R \{u(t,x)\}_{x\in\mathbb{R}} { u ( t , x ) } x ∈ R is strictly stationary,
ρ t u ( x ) : = Cov ( u ( t , x ) , u ( t , 0 ) ) = ∫ 0 t p 2 ( t − s ) ( x ) E ∣ u ( s , 0 ) ∣ 2 d s \rho_t^u(x):=\operatorname{Cov}(u(t,x),u(t,0))=\int_0^t p_{2(t-s)}(x)\mathbb{E}|u(s,0)|^2\mathrm{d}s ρ t u ( x ) := Cov ( u ( t , x ) , u ( t , 0 )) = ∫ 0 t p 2 ( t − s ) ( x ) E ∣ u ( s , 0 ) ∣ 2 d s (by Itô’s isometry), and
Var ( F N ( t ) ) = ∫ 0 N ∫ 0 N ρ t u ( x − y ) d x d y = 2 ∫ 0 N ρ t u ( x ) ( N − x ) d x ∼ N K t , \operatorname{Var}(F_N(t))=\int_0^N\int_0^N\rho_t^u(x-y)\mathrm{d}x\mathrm{d}y=2\int_0^N\rho_t^u(x)(N-x)\mathrm{d}x\sim NK_t, Var ( F N ( t )) = ∫ 0 N ∫ 0 N ρ t u ( x − y ) d x d y = 2 ∫ 0 N ρ t u ( x ) ( N − x ) d x ∼ N K t ,
as N → ∞ N\to\infty N → ∞ , using the fact that K t : = ∫ R ρ t u ( x ) d x = ∫ 0 t E ∣ u ( s , 0 ) ∣ 2 d s < ∞ K_t:=\int_{\mathbb{R}}\rho_t^u(x)\mathrm{d}x=\int_0^t\mathbb{E}|u(s,0)|^2\mathrm{d}s<\infty K t := ∫ R ρ t u ( x ) d x = ∫ 0 t E ∣ u ( s , 0 ) ∣ 2 d s < ∞ since E ∣ u ( t , 0 ) ∣ 2 = 2 e t / 4 Φ ( t / 2 ) \mathbb{E}|u(t,0)|^2=2e^{t/4}\Phi(\sqrt{t}/2) E ∣ u ( t , 0 ) ∣ 2 = 2 e t /4 Φ ( t /2 ) , where Φ \Phi Φ is the standard normal c.d.f. The novelty is that this CLT is proved in [23 ] using a combination between Stein method and Malliavin calculus, which provides a rate for the convergence in the total variation distance, called a quantitative CLT. Moreover, the authors of [23 ] proved a corresponding functional CLT:
1 N F N ( ⋅ ) → d G ( ⋅ ) in C [ 0 , T ] , \frac{1}{\sqrt{N}}F_N(\cdot)\xrightarrow{d}G(\cdot)\quad\text{in }C[0,T], N 1 F N ( ⋅ ) d G ( ⋅ ) in C [ 0 , T ] ,
where G G G is a centered Gaussian process with covariance E [ G ( t ) G ( s ) ] = ∫ 0 t ∧ s E ∣ u ( r , 0 ) ∣ 2 d r \mathbb{E}[G(t)G(s)]=\int_0^{t\wedge s}\mathbb{E}|u(r,0)|^2\mathrm{d}r E [ G ( t ) G ( s )] = ∫ 0 t ∧ s E ∣ u ( r , 0 ) ∣ 2 d r . Here C [ a , b ] C[a,b] C [ a , b ] is the space of continuous functions f : [ a , b ] → R f:[a,b]\to\mathbb{R} f : [ a , b ] → R equipped with the topology of uniform convergence.
Article [23 ] sparked the development of a large area dedicated to similar QCLTs and FCLTs for a variety of equations and noises. We refer the reader to [3 , 4 , 5 , 6 , 7 , 8 , 17 , 18 , 19 , 20 , 27 , 29 , 30 , 31 , 32 ] for a sample of references. The intuition behind these results is the same: the noise may be correlated in space, but as long as the correlation between the big blocks decays fast enough, the resulting variables remain weakly dependent. Moreover, the same intuition applies to a function g g g of the solution. In [12 ] , the authors proved that
1 N d / 2 ∫ [ 0 , N ] d ( g ( u ( t , x ) ) − E [ g ( u ( t , x ) ) ] ) d x → d N ( 0 , c t ) \frac{1}{N^{d/2}}\int_{[0,N]^d}\left(g(u(t,x))-\mathbb{E}[g(u(t,x))]\right)\,dx \xrightarrow{d} N(0,c_t) N d /2 1 ∫ [ 0 , N ] d ( g ( u ( t , x )) − E [ g ( u ( t , x ))] ) d x d N ( 0 , c t )
where u u u is the solution of (SHE) with flat initial condition, driven by a spatially homogeneous Gaussian noise (with integrable covariance kernel), and g g g is a Lipschitz function. This result was extended in [14 ] to locally Lipschitz functions g g g , such as g ( u ) = log u g(u)=\log u g ( u ) = log u . This case is particularly important since, by the Cole-Hopf transform, h f l a t = log u h^{\mathrm{flat}}=\log u h flat = log u is the solution of the Kardar-Parisi-Zhang (KPZ) equation introduced in [26 ] .
The KPZ equation is formally written as:
∂ t h ( t , x ) = 1 2 ∂ x 2 h ( t , x ) + 1 2 ( ∂ x h ( t , x ) ) 2 + ξ ( t , x ) , t > 0 , x ∈ R , (2) \partial_t h(t,x)=\frac{1}{2}\partial_x^2h(t,x)+\frac{1}{2}\left(\partial_xh(t,x)\right)^2+\xi(t,x),\quad t>0,x\in\mathbb{R}, \tag*{(2)} ∂ t h ( t , x ) = 2 1 ∂ x 2 h ( t , x ) + 2 1 ( ∂ x h ( t , x ) ) 2 + ξ ( t , x ) , t > 0 , x ∈ R , (2)
and models the growth of a randomly evolving surface, for instance a surface formed by particles landing and accumulating at random. Its solution h ( t , x ) h(t,x) h ( t , x ) represents the height of the surface at time t t t and position x x x . The diffusion smooths the surface, the nonlinear term makes the growth depend on the local slope, and the noise introduces random irregularities. Much of the interest in the KPZ equation comes from universality: many systems with very different microscopic rules are expected to show the same large-scale fluctuation behaviour. KPZ also reveals connections between random growth, interacting particle systems, directed polymers, and random matrix theory. But defining the solution rigorously is challenging: the solution is too rough for ( ∂ x h ) 2 (\partial_xh)^2 ( ∂ x h ) 2 to make sense, so this term requires re-normalization; see [22 ] .
In the present article, we consider the Cole-Hopf transform
h ( t , x ) = log Z ( t , x ) (3) h(t,x)=\log Z(t,x) \tag*{(3)} h ( t , x ) = log Z ( t , x ) (3)
of the solution of (PAM) with Dirac delta initial condition:
∂ t Z ( t , x ) = 1 2 ∂ x 2 Z ( t , x ) + Z ( t , x ) ξ ( t , x ) , t > 0 , x ∈ R Z ( 0 , ⋅ ) = δ 0 . (4) \partial_tZ(t,x)=\frac{1}{2}\partial_x^2Z(t,x)+Z(t,x)\xi(t,x),\quad t>0,\ x\in\mathbb{R}\qquad Z(0,\cdot)=\delta_0. \tag*{(4)} ∂ t Z ( t , x ) = 2 1 ∂ x 2 Z ( t , x ) + Z ( t , x ) ξ ( t , x ) , t > 0 , x ∈ R Z ( 0 , ⋅ ) = δ 0 . (4)
We say that h = h n w h=h^{\mathrm{nw}} h = h nw is the solution of the KPZ (1.2) with narrow wedge initial data, interpreted by approximation (since we cannot take the logarithm of δ 0 \delta_0 δ 0 ): if Z ε ( 0 , x ) = 1 2 ε exp ( − ∣ x ∣ ε ) Z_\varepsilon(0,x)=\frac{1}{2\varepsilon}\exp\left(-\frac{|x|}{\varepsilon}\right) Z ε ( 0 , x ) = 2 ε 1 exp ( − ε ∣ x ∣ ) , then h ( 0 , ⋅ ) = lim ε → 0 + h ε ( 0 , ⋅ ) h(0,\cdot)=\lim_{\varepsilon\to0+}h_\varepsilon(0,\cdot) h ( 0 , ⋅ ) = lim ε → 0 + h ε ( 0 , ⋅ ) , where
h ε ( 0 , x ) = log Z ε ( 0 , x ) = − log ( 2 ε ) − ∣ x ∣ ε . h_\varepsilon(0,x)=\log Z_\varepsilon(0,x)=-\log(2\varepsilon)-\frac{|x|}{\varepsilon}. h ε ( 0 , x ) = log Z ε ( 0 , x ) = − log ( 2 ε ) − ε ∣ x ∣ .
Figure 1 shows some profiles of h ε h_\varepsilon h ε which justify the name: as ε \varepsilon ε decreases, the wedge becomes narrowed and its peak rises.
Figure 1. Narrow wedge profiles h ε ( 0 , x ) = − log ( 2 ε ) − ∣ x ∣ / ε h_\varepsilon(0,x)=-\log(2\varepsilon)-|x|/\varepsilon h ε ( 0 , x ) = − log ( 2 ε ) − ∣ x ∣/ ε for ε = 1 \varepsilon=1 ε = 1 , 0.5 0.5 0.5 , 0.2 0.2 0.2 .
Following Walsh [33 ] , we interpret the solution of (1.4) in the mild sense, i.e. we assume that { Z ( t , x ) ; t ≥ 0 , x ∈ R } \{Z(t,x);t\geq0,x\in\mathbb{R}\} { Z ( t , x ) ; t ≥ 0 , x ∈ R } is a measurable and ( F t ) (\mathcal{F}_t) ( F t ) -adapted random field which satisfies:
Z ( t , x ) = p t ( x ) + ∫ 0 t ∫ R p t − s ( x − y ) Z ( s , y ) ξ ( d s , d y ) . (5) Z(t,x)=p_t(x)+\int_0^t\int_{\mathbb{R}}p_{t-s}(x-y)Z(s,y)\xi(\mathrm{d}s,\mathrm{d}y). \tag*{(5)} Z ( t , x ) = p t ( x ) + ∫ 0 t ∫ R p t − s ( x − y ) Z ( s , y ) ξ ( d s , d y ) . (5)
where the stochastic integral is interpreted in the Itô sense. The normalization below removes the deterministic spatial profile and allows us to use stationarity. Indeed, the process
Z ‾ ( t , x ) = Z ( t , x ) p t ( x ) , x ∈ R , \overline{Z}(t,x)=\frac{Z(t,x)}{p_t(x)},\qquad x\in\mathbb{R}, Z ( t , x ) = p t ( x ) Z ( t , x ) , x ∈ R ,
is strictly stationary (see Proposition 1.4 of [2 ] ). Moreover, Z ‾ \overline{Z} Z satisfies:
Z ‾ ( t , x ) = 1 + ∫ 0 t ∫ R p s ( t − s ) t ( y − s t x ) Z ‾ ( s , y ) ξ ( d s , d y ) , \overline{Z}(t,x)=1+\int_0^t\int_{\mathbb{R}}p_{\frac{s(t-s)}{t}}\left(y-\frac{s}{t}x\right)\overline{Z}(s,y)\xi(\mathrm{d}s,\mathrm{d}y), Z ( t , x ) = 1 + ∫ 0 t ∫ R p t s ( t − s ) ( y − t s x ) Z ( s , y ) ξ ( d s , d y ) ,
using property (3.3) below of the heat kernel. In [13 ] , the authors proved that its spatial average S ‾ N ( t ) = ∫ 0 N ( Z ‾ ( t , x ) − 1 ) d x \overline{S}_N(t)=\int_0^N(\overline{Z}(t,x)-1)\mathrm{d}x S N ( t ) = ∫ 0 N ( Z ( t , x ) − 1 ) d x satisfies the following FCLT:
1 N log N S ‾ N ( ⋅ ) → d 2 B ( ⋅ ) in C [ 0 , T ] , \frac{1}{\sqrt{N\log N}}\overline{S}_N(\cdot)\xrightarrow{d}\sqrt{2}B(\cdot)\quad\text{in }C[0,T], N log N 1 S N ( ⋅ ) d 2 B ( ⋅ ) in C [ 0 , T ] ,
where B B B is a standard Brownian motion. The normalization comes from the fact that Var ( S ‾ N ( t ) ) ∼ 2 t N log N \operatorname{Var}(\overline{S}_N(t))\sim2tN\log N Var ( S N ( t )) ∼ 2 tN log N , according to Proposition 4.1 of [13 ] . Alternatively, this follows from stationarity and the fact that
ρ ‾ t ( x ) : = Cov ( Z ‾ ( t , x ) , Z ‾ ( t , 0 ) ) = ∫ 0 t E ∣ Z ‾ ( s , 0 ) ∣ 2 p 2 s ( t − s ) t ( s t x ) d s ∼ t x as x → ∞ . (6) \overline{\rho}_t(x):=\operatorname{Cov}(\overline{Z}(t,x),\overline{Z}(t,0))=\int_0^t\mathbb{E}|\overline{Z}(s,0)|^2p_{\frac{2s(t-s)}{t}}\left(\frac{s}{t}x\right)\mathrm{d}s\sim\frac{t}{x}\quad\text{as }x\to\infty. \tag*{(6)} ρ t ( x ) := Cov ( Z ( t , x ) , Z ( t , 0 )) = ∫ 0 t E ∣ Z ( s , 0 ) ∣ 2 p t 2 s ( t − s ) ( t s x ) d s ∼ x t as x → ∞. (6)
where the second-moment formula (2.31) of [9 ] (with ν = λ = 1 \nu=\lambda=1 ν = λ = 1 in their notation) gives
m ( s ) : = E ∣ Z ‾ ( s , 0 ) ∣ 2 = 1 + π s e s / 4 Φ ( s / 2 ) . m(s):=\mathbb{E}|\overline{Z}(s,0)|^2=1+\sqrt{\pi s}\,e^{s/4}\Phi\left(\sqrt{s/2}\right). m ( s ) := E ∣ Z ( s , 0 ) ∣ 2 = 1 + π s e s /4 Φ ( s /2 ) .
In particular, m ( s ) ≥ 1 m(s) \ge1 m ( s ) ≥ 1 and m ( s ) → 1 m(s) \to1 m ( s ) → 1 as s ↓ 0 s \downarrow0 s ↓ 0 . The factor s / t s/t s / t in the kernel argument is essential: by Tonelli’s theorem and the change of variables z = s x / t z = sx/t z = s x / t ,
∫ 0 ∞ ρ t Z ‾ ( x ) d x = t 2 ∫ 0 t m ( s ) s d s = ∞ . \int_0^\infty\overline{\rho_t^Z}(x)\,\mathrm{d}x = \frac{t}{2}\int_0^t \frac{m(s)}{s}\,\mathrm{d}s = \infty. ∫ 0 ∞ ρ t Z ( x ) d x = 2 t ∫ 0 t s m ( s ) d s = ∞.
The covariance tail and variance asymptotic are given by Proposition A.6 below.
There is a natural connection between Z ‾ \overline{Z} Z and h h h : since log Z ‾ ( t , x ) = h ( t , x ) − log p t ( x ) \log\overline{Z}(t,x) = h(t,x) - \log p_t(x) log Z ( t , x ) = h ( t , x ) − log p t ( x ) ,
h ( t , x ) − E [ h ( t , x ) ] = log Z ‾ ( t , x ) − E [ log Z ‾ ( t , x ) ] , x ∈ R h(t,x) - \mathbb{E}[h(t,x)] = \log\overline{Z}(t,x) - \mathbb{E}[\log\overline{Z}(t,x)], \qquad x \in\mathbb{R} h ( t , x ) − E [ h ( t , x )] = log Z ( t , x ) − E [ log Z ( t , x )] , x ∈ R
is strictly stationary. It turns out that the spatial average of h h h :
S N ( t ) = ∫ 0 N ( h ( t , x ) − E [ h ( t , x ) ] ) d x , (7) S_N(t) = \int_0^N \bigl(h(t,x) - \mathbb{E}[h(t,x)]\bigr)\,\mathrm{d}x, \tag*{(7)} S N ( t ) = ∫ 0 N ( h ( t , x ) − E [ h ( t , x )] ) d x , (7)
has a similar asymptotic behaviour to S ‾ N ( t ) \overline{S}_N(t) S N ( t ) . The recent preprint [21 ] proved that
Cov ( h ( t , x ) , h ( t , 0 ) ) ∼ t x as x → ∞ , (8) \operatorname{Cov}(h(t,x),h(t,0)) \sim\frac{t}{x} \qquad\text{as } x \to\infty, \tag*{(8)} Cov ( h ( t , x ) , h ( t , 0 )) ∼ x t as x → ∞ , (8)
and consequently, Var ( S N ( t ) ) ∼ 2 t N log N \operatorname{Var}(S_N(t)) \sim2tN\log N Var ( S N ( t )) ∼ 2 tN log N as N → ∞ N \to\infty N → ∞ . This is very different from the case of the flat initial data: Theorem 1.1 of the recent article [11 ] showed that
Cov ( h f l a t ( t , x ) , h f l a t ( t , 0 ) ) ∼ 2 κ ( t ) π t 3 / 2 ∣ x ∣ − 2 exp ( − x 2 4 t ) , as x → ∞ . \operatorname{Cov}\bigl(h^{\mathrm{flat}}(t,x),h^{\mathrm{flat}}(t,0)\bigr) \sim\frac{2\kappa(t)}{\sqrt{\pi}}t^{3/2}|x|^{-2}\exp\left(-\frac{x^2}{4t}\right), \qquad\text{as } x \to\infty. Cov ( h flat ( t , x ) , h flat ( t , 0 ) ) ∼ π 2 κ ( t ) t 3/2 ∣ x ∣ − 2 exp ( − 4 t x 2 ) , as x → ∞.
for a certain constant κ ( t ) > 0 \kappa(t) > 0 κ ( t ) > 0 . Since this covariance is integrable, Var ( S N f l a t ( t ) ) ∼ C t N \operatorname{Var}(S_N^{\mathrm{flat}}(t)) \sim C_tN Var ( S N flat ( t )) ∼ C t N , where S N f l a t ( t ) S_N^{\mathrm{flat}}(t) S N flat ( t ) is defined as (7) with h h h replaced by h f l a t h^{\mathrm{flat}} h flat . In fact, due to the earlier work of [14 ] , it was already known that S N f l a t S_N^{\mathrm{flat}} S N flat satisfies the functional CLT: (see Theorem 2.3(ii) ibid.),
1 N S N f l a t ( ⋅ ) → d G ( ⋅ ) in C [ 0 , T ] , \frac{1}{\sqrt{N}}S_N^{\mathrm{flat}}(\cdot) \xrightarrow{d} G(\cdot) \quad\text{in } C[0,T], N 1 S N flat ( ⋅ ) d G ( ⋅ ) in C [ 0 , T ] ,
where G G G is a centered Gaussian process with
E [ G ( t ) G ( s ) ] = ∫ R Cov ( h f l a t ( t , x ) , h f l a t ( s , 0 ) ) d x . \mathbb{E}[G(t)G(s)] = \int_{\mathbb{R}} \operatorname{Cov}\bigl(h^{\mathrm{flat}}(t,x),h^{\mathrm{flat}}(s,0)\bigr)\,\mathrm{d}x. E [ G ( t ) G ( s )] = ∫ R Cov ( h flat ( t , x ) , h flat ( s , 0 ) ) d x .
In addition to (8) , the authors of [21 ] have also proved that as N → ∞ N \to\infty N → ∞ ,
1 N log N S N ( ⋅ ) → f . d . d . 2 B ( ⋅ ) , \frac{1}{\sqrt{N\log N}}S_N(\cdot) \xrightarrow{\mathrm{f.d.d.}} \sqrt{2}B(\cdot), N log N 1 S N ( ⋅ ) f.d.d. 2 B ( ⋅ ) ,
where → f . d . d . \xrightarrow{\mathrm{f.d.d.}} f.d.d. denotes convergence in the sense of finite-dimensional distributions. They have left as an open problem the extension of this result to a functional CLT; see Remark 4.3. ibid. The goal of the present article is to establish this process-level convergence on every compact time interval bounded away from zero.
The following theorem is the main result of the present article.
Theorem 1.1. For any N ≥ 2 N \ge2 N ≥ 2 , the process S N ( ⋅ ) = { S N ( t ) } t > 0 S_N(\cdot)=\{S_N(t)\}_{t>0} S N ( ⋅ ) = { S N ( t ) } t > 0 has a locally γ \gamma γ -Hölder continuous modification of order γ ∈ ( 0 , 1 4 ] \gamma\in(0,\frac{1}{4}] γ ∈ ( 0 , 4 1 ] , which we denote also by S N ( ⋅ ) S_N(\cdot) S N ( ⋅ ) . Moreover, as N → ∞ N\to\infty N → ∞ ,
1 N log N S N ( ⋅ ) → d 2 B ( ⋅ ) , in C [ ε , T ] , \frac{1}{\sqrt{N\log N}}S_N(\cdot)\xrightarrow{d}\sqrt{2}B(\cdot),\quad\text{in }C[\varepsilon,T], N log N 1 S N ( ⋅ ) d 2 B ( ⋅ ) , in C [ ε , T ] , for any 0 < ε < T 0<\varepsilon<T 0 < ε < T , where ( B t ) t ≥ 0 (B_t)_{t\ge0} ( B t ) t ≥ 0 is a standard Brownian motion, and → d \xrightarrow{d} d denotes convergence in distribution.
We state Theorem 1.1 on [ ε , T ] [\varepsilon,T] [ ε , T ] because our increment estimates depend on ε \varepsilon ε and are not uniform as ε ↓ 0. \varepsilon\downarrow0. ε ↓ 0. For the linear observable Z ‾ − 1 \overline{Z}-1 Z − 1 , Lemma 2.4 of [13 ] and Proposition 6.1 ibid. combine a quantitative small-time bound on its normalized spatial average with increment estimates whose deterioration near zero is explicitly controlled. Our observable is log Z ‾ − E [ log Z ‾ ] \log\overline{Z}-\mathbb{E}[\log\overline{Z}] log Z − E [ log Z ] . Pointwise moment control, including negative moments of Z ‾ \overline{Z} Z , does not by itself provide the required spatial-averaging gain. We do not establish the corresponding uniform small-time spatial-average estimate and interpolation for this observable; our result therefore leaves convergence on [ 0 , T ] [0,T] [ 0 , T ] open.
The limiting finite-dimensional distributions are already supplied by [21 ] . To prove Theorem 1.1, we establish a moment bound for time increments of the normalized spatial integral, uniformly in the averaging length. The obstruction is that temporal increments of the normalized narrow-wedge SHE are not stationary in space, so the estimates used for flat initial data do not transfer directly; see Remark 4.3 of [21 ] .
As in [21 ] , we will use the Clark-Ocone formula to express X N ( t ) X_N(t) X N ( t ) as a stochastic integral with respect to ξ ( d s , d y ) \xi(\mathrm{d}s,\mathrm{d}y) ξ ( d s , d y ) of spatial d x \mathrm{d}x d x integral on [ 0 , N ] [0,N] [ 0 , N ] of a product of the form A ( t , x ; s , y ) q t , x ( y ) \mathcal{A}(t,x;s,y)q_{t,x}(y) A ( t , x ; s , y ) q t , x ( y ) ; see relation (3.4) below. But unlike [21 ] , we will not consider the projection of X N ( t ) X_N(t) X N ( t ) on the first Wiener chaos space (which is the same stochastic integral, but with the integrand replaced by its expectation).
The main difficulty is to reduce the increment A ( t 2 , x ; s , y ) q t 2 , x ( y ) − A ( t 1 , x ; s , y ) q t 1 , x ( y ) \mathcal{A}(t_2,x;s,y)q_{t_2,x}(y)-\mathcal{A}(t_1,x;s,y)q_{t_1,x}(y) A ( t 2 , x ; s , y ) q t 2 , x ( y ) − A ( t 1 , x ; s , y ) q t 1 , x ( y ) to an increment which contains the same variable t 1 t_1 t 1 . For this, we will use a new idea, based on rewriting the two d x \mathrm{d}x d x integrals using the changes of variables x = t 1 u x=t_1u x = t 1 u and x = t 2 u x=t_2u x = t 2 u . We call this the “common-ray procedure”, where u u u is the “ray variable”. See relation (3.8).
The key ingredient is the fact that the Malliavin derivative R ( t , x ; s , y ) = D s , y h ( t , x ) \mathcal{R}(t,x;s,y)=D_{s,y}h(t,x) R ( t , x ; s , y ) = D s , y h ( t , x ) satisfies a Chapman-Kolmogorov relation; see relation (3.17). This reduces its difference at two times to a spatial increment at one common time; see relation (3.18). To obtain tightness, we estimate the resulting bulk and boundary terms separately.
The remainder of this article is organized in two sections: in Section 2, we introduce some preliminary material, while in Section 3 we present the proof of Theorem 1.1. Appendix A contains some auxiliary material which is used in the paper.
We end the introduction with a few words about the notation. For any p ≥ 1 p\ge1 p ≥ 1 , we denote by ∥ ⋅ ∥ p \|\cdot\|_p ∥ ⋅ ∥ p the norm in L p ( Ω ) L^p(\Omega) L p ( Ω ) . We denote by C a , b , … C_{a,b,\ldots} C a , b , … a generic positive constant which depends on parameters a , b , … a,b,\ldots a , b , … (listed as lower indices), which may be different in each of its appearances.
Preliminaries
In this section, we include some preliminary material which will be used below. We assume that ξ \xi ξ is defined on a complete probability space ( Ω , F , P ) (\Omega,\mathcal{F},\mathbb{P}) ( Ω , F , P ) . We denote by ( F t ) t ≥ 0 (\mathcal{F}_t)_{t\geq0} ( F t ) t ≥ 0 the (augmented) filtration induced by ξ \xi ξ :
F t = σ { ξ ( [ 0 , s ] × A ) ; s ∈ [ 0 , t ] , A ∈ B b ( R ) } ∨ N , (9) \mathcal{F}_t=\sigma\{\xi([0,s]\times A);\,s\in[0,t],\,A\in\mathcal{B}_b(\mathbb{R})\}\vee\mathcal{N}, \tag*{(9)} F t = σ { ξ ([ 0 , s ] × A ) ; s ∈ [ 0 , t ] , A ∈ B b ( R )} ∨ N , (9)
where B b ( R ) \mathcal{B}_b(\mathbb{R}) B b ( R ) is the class of bounded Borel sets in R \mathbb{R} R , and N \mathcal{N} N are P \mathbb{P} P -negligible events.
A random process u = { u ( t , x ) ; t ≥ 0 , x ∈ R } u=\{u(t,x);t\geq0,x\in\mathbb{R}\} u = { u ( t , x ) ; t ≥ 0 , x ∈ R } is ( F t ) (\mathcal{F}_t) ( F t ) -adapted if u ( t , x ) u(t,x) u ( t , x ) is F t \mathcal{F}_t F t -measurable for any t > 0 t>0 t > 0 and x ∈ R x\in\mathbb{R} x ∈ R . The process u u u is measurable if the map ( ω , t , x ) ↦ u ( ω , t , x ) (\omega,t,x)\mapsto u(\omega,t,x) ( ω , t , x ) ↦ u ( ω , t , x ) is F ⊗ B ( R + ) ⊗ B ( R ) \mathcal{F}\otimes\mathcal{B}(\mathbb{R}_+)\otimes\mathcal{B}(\mathbb{R}) F ⊗ B ( R + ) ⊗ B ( R ) -measurable.
Malliavin calculus
In this section, we include some basic facts on Malliavin calculus with respect to the isonormal Gaussian process { ξ ( φ ) } φ ∈ H \{\xi(\varphi)\}_{\varphi\in\mathcal{H}} { ξ ( φ ) } φ ∈ H induced by the space-time Gaussian white noise:
E [ ξ ( g ) ξ ( h ) ] = ⟨ g , h ⟩ H with H = L 2 ( R + × R ) . \mathbb{E}[\xi(g)\xi(h)]=\langle g,h\rangle_{\mathcal{H}}\quad\text{with}\quad\mathcal{H}=L^2(\mathbb{R}_+\times\mathbb{R}). E [ ξ ( g ) ξ ( h )] = ⟨ g , h ⟩ H with H = L 2 ( R + × R ) .
F = f ( ξ ( φ 1 ) , … , ξ ( φ n ) ) , (10) F=f(\xi(\varphi_1),\ldots,\xi(\varphi_n)), \tag*{(10)} F = f ( ξ ( φ 1 ) , … , ξ ( φ n )) , (10)
where f ∈ C b ∞ ( R n ) f\in C_b^\infty(\mathbb{R}^n) f ∈ C b ∞ ( R n ) , φ i ∈ H \varphi_i\in\mathcal{H} φ i ∈ H , n ≥ 1 n\geq1 n ≥ 1 , and C b ∞ ( R n ) C_b^\infty(\mathbb{R}^n) C b ∞ ( R n ) is the class of bounded C ∞ C^\infty C ∞ -functions on R n \mathbb{R}^n R n , whose partial derivatives of all orders are bounded. The Malliavin derivative of F F F of the form (10) is the H \mathcal{H} H -valued random variable given by:
D t , x F : = ∑ i = 1 n ∂ f ∂ x i ( ξ ( φ 1 ) , … , ξ ( φ n ) ) φ i ( t , x ) , for t > 0 and x ∈ R . D_{t,x}F:=\sum_{i=1}^{n}\frac{\partial f}{\partial x_i}(\xi(\varphi_1),\ldots,\xi(\varphi_n))\varphi_i(t,x),\quad\text{for }t>0\text{ and }x\in\mathbb{R}. D t , x F := i = 1 ∑ n ∂ x i ∂ f ( ξ ( φ 1 ) , … , ξ ( φ n )) φ i ( t , x ) , for t > 0 and x ∈ R .
We endow S \mathcal{S} S with the norm ∥ F ∥ D 1 , 2 = ( E ∣ F ∣ 2 + E ∥ D F ∥ H 2 ) 1 / 2 \|F\|_{\mathbb{D}^{1,2}}=(\mathbb{E}|F|^2+\mathbb{E}\|DF\|_{\mathcal{H}}^2)^{1/2} ∥ F ∥ D 1 , 2 = ( E ∣ F ∣ 2 + E ∥ D F ∥ H 2 ) 1/2 . The operator D D D can be extended to the space D 1 , 2 \mathbb{D}^{1,2} D 1 , 2 , the completion of S \mathcal{S} S with respect to ∥ ⋅ ∥ D 1 , 2 \|\cdot\|_{\mathbb{D}^{1,2}} ∥ ⋅ ∥ D 1 , 2 .
If F ∈ D 1 , 2 F\in\mathbb{D}^{1,2} F ∈ D 1 , 2 is F t \mathcal{F}_t F t -measurable, then
D r , z F = 0 for almost every ( r , z ) ∈ ( t , ∞ ) × R , a.s. (11) D_{r,z}F=0\quad\text{for almost every }(r,z)\in(t,\infty)\times\mathbb{R},\ \text{a.s.} \tag*{(11)} D r , z F = 0 for almost every ( r , z ) ∈ ( t , ∞ ) × R , a.s. (11)
Itô integral. The Itô integral ∫ 0 t ∫ R g ( s , x ) ξ ( d s , d x ) \int_0^t\int_{\mathbb{R}}g(s,x)\xi(ds,dx) ∫ 0 t ∫ R g ( s , x ) ξ ( d s , d x ) , t ≥ 0 t\geq0 t ≥ 0 is a martingale defined for any predictable process g g g such that E ∫ 0 t ∫ R g 2 ( s , x ) d x d s < ∞ \mathbb{E}\int_0^t\int_{\mathbb{R}}g^2(s,x)\,dx\,ds<\infty E ∫ 0 t ∫ R g 2 ( s , x ) d x d s < ∞ for any t > 0 t>0 t > 0 . By Burkholder-Davis-Gundy and Minkowski’s inequalities, for any p ≥ 2 p\geq2 p ≥ 2 ,
∥ ∫ 0 T ∫ R g ( t , x ) ξ ( d t , d x ) ∥ p 2 ≤ z p 2 ∫ 0 T ∫ R ∥ g ( t , x ) ∥ p 2 d t d x , (12) \left\|\int_0^T\int_{\mathbb{R}}g(t,x)\xi(dt,dx)\right\|_p^2\leq z_p^2\int_0^T\int_{\mathbb{R}}\|g(t,x)\|_p^2\,dt\,dx, \tag*{(12)} ∫ 0 T ∫ R g ( t , x ) ξ ( d t , d x ) p 2 ≤ z p 2 ∫ 0 T ∫ R ∥ g ( t , x ) ∥ p 2 d t d x , (12)
where z p > 0 z_p>0 z p > 0 is a constant depending on p p p .
E ( F δ ( u ) ) = E ( ⟨ D F , u ⟩ H ) , ∀ F ∈ D 1 , 2 . (13) \mathbb{E}(F\delta(u)) = \mathbb{E}(\langle DF,u\rangle_{\mathcal{H}}), \qquad\forall F \in\mathbb{D}^{1,2}. \tag*{(13)} E ( F δ ( u )) = E (⟨ D F , u ⟩ H ) , ∀ F ∈ D 1 , 2 . (13)
In particular, E [ δ ( u ) ] = 0 \mathbb{E}[\delta(u)] = 0 E [ δ ( u )] = 0 . For any u ∈ Dom ( δ ) u \in\operatorname{Dom}(\delta) u ∈ Dom ( δ ) , we say that δ ( u ) \delta(u) δ ( u ) is the Skorohod integral of u u u . If g g g is predictable and E ∫ 0 ∞ ∫ R ∣ g ( s , x ) ∣ 2 d x d s < ∞ \mathbb{E}\int_0^\infty\int_{\mathbb{R}} |g(s,x)|^2\,dx\,ds < \infty E ∫ 0 ∞ ∫ R ∣ g ( s , x ) ∣ 2 d x d s < ∞ , then g ∈ Dom ( δ ) g \in\operatorname{Dom}(\delta) g ∈ Dom ( δ ) and δ ( g ) = ∫ 0 ∞ ∫ R g ( s , x ) ξ ( d s , d x ) \delta(g) = \int_0^\infty\int_{\mathbb{R}} g(s,x)\xi(ds,dx) δ ( g ) = ∫ 0 ∞ ∫ R g ( s , x ) ξ ( d s , d x ) .
We will use the following results. We refer the reader to [28 ] for more details.
Heisenberg commutation principle: we use the following result (Proposition 1.3.8 of [28 ] ). Suppose that u ∈ D 1 , 2 ( H ) u \in\mathbb{D}^{1,2}(\mathcal{H}) u ∈ D 1 , 2 ( H ) is supported in [ 0 , T ] × R [0,T]\times\mathbb{R} [ 0 , T ] × R . Assume that D t , x u ∈ Dom ( δ ) D_{t,x}u \in\operatorname{Dom}(\delta) D t , x u ∈ Dom ( δ ) for almost every ( t , x ) (t,x) ( t , x ) , and that { δ ( D t , x u ) } t , x \{\delta(D_{t,x}u)\}_{t,x} { δ ( D t , x u ) } t , x has a jointly measurable version in L 2 ( Ω ; H ) L^2(\Omega;\mathcal{H}) L 2 ( Ω ; H ) . Then δ ( u ) ∈ D 1 , 2 \delta(u) \in\mathbb{D}^{1,2} δ ( u ) ∈ D 1 , 2 and, almost everywhere in ( t , x ) (t,x) ( t , x ) ,
D t , x ( δ ( u ) ) = u ( t , x ) + ∫ 0 T ∫ R D t , x u ( s , y ) ξ ( d s , d y ) . (14) D_{t,x}(\delta(u)) = u(t,x) + \int_0^T\int_{\mathbb{R}} D_{t,x}u(s,y)\xi(ds,dy). \tag*{(14)} D t , x ( δ ( u )) = u ( t , x ) + ∫ 0 T ∫ R D t , x u ( s , y ) ξ ( d s , d y ) . (14)
Chain rule: if F ∈ D 1 , 2 F \in\mathbb{D}^{1,2} F ∈ D 1 , 2 and φ ∈ C 1 ( R ) \varphi\in C^1(\mathbb{R}) φ ∈ C 1 ( R ) has bounded derivative, then φ ( F ) ∈ D 1 , 2 \varphi(F) \in\mathbb{D}^{1,2} φ ( F ) ∈ D 1 , 2 and
D φ ( F ) = φ ′ ( F ) D F . (15) D\varphi(F) = \varphi'(F)DF. \tag*{(15)} D φ ( F ) = φ ′ ( F ) D F . (15)
Clark-Ocone formula: if F ∈ D 1 , 2 F \in\mathbb{D}^{1,2} F ∈ D 1 , 2 and F F F is F T \mathcal{F}_T F T -measurable, then
F = E ( F ) + ∫ 0 T ∫ R E [ D t , x F ∣ F t ] ξ ( d t , d x ) . (16) F = \mathbb{E}(F) + \int_0^T\int_{\mathbb{R}}\mathbb{E}[D_{t,x}F\mid\mathcal{F}_t]\xi(dt,dx). \tag*{(16)} F = E ( F ) + ∫ 0 T ∫ R E [ D t , x F ∣ F t ] ξ ( d t , d x ) . (16)
Here and below, conditional expectations used as stochastic integrands denote their predictable versions, defined up to equality in L 2 ( Ω × [ 0 , T ] × R ) L^2(\Omega\times[0,T]\times\mathbb{R}) L 2 ( Ω × [ 0 , T ] × R ) .
Green function of SHE
In this section, we include some background material about a random process G \mathcal{G} G which is very helpful for our calculations. This process appeared also in [1 ] and [21 ] .
Let s ≥ 0 s \ge0 s ≥ 0 and y ∈ R y \in\mathbb{R} y ∈ R be fixed. We denote by { G ( t , x ; s , y ) ; t > s , x ∈ R } \{\mathcal{G}(t,x;s,y);t>s,x\in\mathbb{R}\} { G ( t , x ; s , y ) ; t > s , x ∈ R } the solution of the following (time-delayed) stochastic heat equation:
{ ∂ t G ( t , x ; s , y ) = 1 2 ∂ x 2 G ( t , x ; s , y ) + G ( t , x ; s , y ) ξ ( t , x ) , t > s , x ∈ R , G ( s , ⋅ ; s , y ) = δ y . \begin{cases}
\partial_t\mathcal{G}(t,x;s,y) = \frac{1}{2}\partial_x^2\mathcal{G}(t,x;s,y) + \mathcal{G}(t,x;s,y)\xi(t,x), & t>s,\ x\in\mathbb{R},\\
\mathcal{G}(s,\cdot;s,y) = \delta_y.
\end{cases} { ∂ t G ( t , x ; s , y ) = 2 1 ∂ x 2 G ( t , x ; s , y ) + G ( t , x ; s , y ) ξ ( t , x ) , G ( s , ⋅ ; s , y ) = δ y . t > s , x ∈ R ,
This means that { G ( t , x ; s , y ) ; t > s , x ∈ R } \{\mathcal{G}(t,x;s,y);t>s,x\in\mathbb{R}\} { G ( t , x ; s , y ) ; t > s , x ∈ R } is a measurable and ( F t ) t ≥ s (\mathcal{F}_t)_{t\ge s} ( F t ) t ≥ s -adapted random field such that for any t > s t>s t > s and x ∈ R x\in\mathbb{R} x ∈ R , with probability 1 1 1 ,
G ( t , x ; s , y ) = p t − s ( x − y ) + ∫ s t ∫ R p t − r ( x − z ) G ( r , z ; s , y ) ξ ( d r , d z ) . (17) \mathcal{G}(t,x;s,y) = p_{t-s}(x-y) + \int_s^t\int_{\mathbb{R}} p_{t-r}(x-z)\mathcal{G}(r,z;s,y)\xi(dr,dz). \tag*{(17)} G ( t , x ; s , y ) = p t − s ( x − y ) + ∫ s t ∫ R p t − r ( x − z ) G ( r , z ; s , y ) ξ ( d r , d z ) . (17)
Taking s = 0 s=0 s = 0 and y = 0 y=0 y = 0 in (2.9) gives exactly (1.5), so G ( ⋅ , ⋅ ; 0 , 0 ) \mathcal{G}(\cdot,\cdot;0,0) G ( ⋅ , ⋅ ; 0 , 0 ) and Z Z Z are both random field solutions of (1.4). Such a solution is unique, by Theorem 2.4 of [9 ] . Therefore, for any t > 0 t>0 t > 0 and x ∈ R x\in\mathbb{R} x ∈ R , with probability 1,
G ( t , x ; 0 , 0 ) = Z ( t , x ) . (18) \mathcal{G}(t,x;0,0)=Z(t,x). \tag*{(18)} G ( t , x ; 0 , 0 ) = Z ( t , x ) . (18)
Multiplying (2.9) by Z ( s , y ) Z(s,y) Z ( s , y ) and using a property of the Itô integral which states that an F s \mathcal{F}_s F s -measurable factor can be moved inside an Itô integral starting at s s s , we obtain:
G ( t , x ; s , y ) Z ( s , y ) = p t − s ( x − y ) Z ( s , y ) + ∫ s t ∫ R p t − r ( x − z ) G ( r , z ; s , y ) Z ( s , y ) ξ ( d r , d z ) . \mathcal{G}(t,x;s,y)Z(s,y)=p_{t-s}(x-y)Z(s,y)+\int_s^t\int_{\mathbb{R}}p_{t-r}(x-z)\mathcal{G}(r,z;s,y)Z(s,y)\xi(\mathrm{d}r,\mathrm{d}z). G ( t , x ; s , y ) Z ( s , y ) = p t − s ( x − y ) Z ( s , y ) + ∫ s t ∫ R p t − r ( x − z ) G ( r , z ; s , y ) Z ( s , y ) ξ ( d r , d z ) .
On the other hand, we import Malliavin differentiability of Z ( t , x ) Z(t,x) Z ( t , x ) and the derivative equation below from Section 2 of [21 ] . The derivative vanishes for s > t s>t s > t by (2.3), and for 0 < s < t 0<s<t 0 < s < t , with the identity understood almost everywhere in ( s , y ) (s,y) ( s , y ) , we have:
D s , y Z ( t , x ) = p t − s ( x − y ) Z ( s , y ) + ∫ s t ∫ R p t − r ( x − z ) D s , y Z ( r , z ) ξ ( d r , d z ) . D_{s,y}Z(t,x)=p_{t-s}(x-y)Z(s,y)+\int_s^t\int_{\mathbb{R}}p_{t-r}(x-z)D_{s,y}Z(r,z)\xi(\mathrm{d}r,\mathrm{d}z). D s , y Z ( t , x ) = p t − s ( x − y ) Z ( s , y ) + ∫ s t ∫ R p t − r ( x − z ) D s , y Z ( r , z ) ξ ( d r , d z ) .
The two right-hand sides above are the mild formulation of the same equation, namely
{ ∂ t V ( t , x ) = 1 2 ∂ x 2 V ( t , x ) + V ( t , x ) ξ ( t , x ) , t > s , x ∈ R , V ( s , ⋅ ) = Z ( s , y ) δ y , \begin{cases}
\partial_tV(t,x)=\frac{1}{2}\partial_x^2V(t,x)+V(t,x)\xi(t,x),\quad t>s,\ x\in\mathbb{R},\\
V(s,\cdot)=Z(s,y)\delta_y,
\end{cases} { ∂ t V ( t , x ) = 2 1 ∂ x 2 V ( t , x ) + V ( t , x ) ξ ( t , x ) , t > s , x ∈ R , V ( s , ⋅ ) = Z ( s , y ) δ y ,
whose random field solution is unique by Theorem 2.4 of [9 ] . The initial datum is F s \mathcal{F}_s F s -measurable and the noise on ( s , ∞ ) (s,\infty) ( s , ∞ ) is independent of F s \mathcal{F}_s F s , so that theorem applies conditionally on F s \mathcal{F}_s F s . Therefore, for 0 < s < t 0<s<t 0 < s < t and x ∈ R x\in\mathbb{R} x ∈ R , with the Malliavin identity understood almost everywhere in ( s , y ) (s,y) ( s , y ) ,
D s , y Z ( t , x ) = G ( t , x ; s , y ) Z ( s , y ) . (19) D_{s,y}Z(t,x)=\mathcal{G}(t,x;s,y)Z(s,y). \tag*{(19)} D s , y Z ( t , x ) = G ( t , x ; s , y ) Z ( s , y ) . (19)
Remark 2.1. The same factorization argument applies to other initial data and semigroups whenever the corresponding mild Green kernel, Malliavin differentiability and uniqueness for the random initial-value equation above are available. These conditions must be checked for each such extension.
The family { G ( t , x ; s , y ) ; 0 ≤ s < t , x , y ∈ R } \{\mathcal{G}(t,x;s,y);0\leq s<t,\ x,y\in\mathbb{R}\} { G ( t , x ; s , y ) ; 0 ≤ s < t , x , y ∈ R } is called the Green function of SHE. We define the scaled Green function of SHE by:
G ‾ ( t , x ; s , y ) = G ( t , x ; s , y ) p t − s ( x − y ) 0 ≤ s < t , x , y ∈ R . \overline{\mathcal{G}}(t,x;s,y)=\frac{\mathcal{G}(t,x;s,y)}{p_{t-s}(x-y)}\qquad0\leq s<t,\ x,y\in\mathbb{R}. G ( t , x ; s , y ) = p t − s ( x − y ) G ( t , x ; s , y ) 0 ≤ s < t , x , y ∈ R .
At the diagonal we set G ‾ ( s , x ; s , y ) = 1 \overline{\mathcal{G}}(s,x;s,y)=1 G ( s , x ; s , y ) = 1 by convention; the quotient above is used only when s < t s<t s < t . We do not assign any pointwise value to the unnormalized kernel at the diagonal.
We import the following uniform moment bound from Lemma 3.3 of [11 ] , which follows from Lemma 3.2 of [1 ] together with time-translation and shear invariance. For any k ∈ R k\in\mathbb{R} k ∈ R and T > 0 T>0 T > 0 ,
sup 0 ≤ s ≤ t ≤ T x , y ∈ R E [ G ‾ ( t , x ; s , y ) k ] < ∞ . (20) \sup_{\substack{0\leq s\leq t\leq T\\x,y\in\mathbb{R}}}\mathbb{E}\left[\overline{\mathcal{G}}(t,x;s,y)^k\right]<\infty. \tag*{(20)} 0 ≤ s ≤ t ≤ T x , y ∈ R sup E [ G ( t , x ; s , y ) k ] < ∞. (20)
By Theorem 2.19.(viii) of [15 ] , G \mathcal{G} G satisfies the following Chapman-Kolmogorov relation: with probability 1, for any $0 \le s < r < t$ and x , y ∈ R x,y \in\mathbb{R} x , y ∈ R ,
G ( t , x ; s , y ) = ∫ R G ( t , x ; r , z ) G ( r , z ; s , y ) d z . (21) \mathcal{G}(t,x;s,y)=\int_{\mathbb{R}}\mathcal{G}(t,x;r,z)\mathcal{G}(r,z;s,y)\,\mathrm{d}z. \tag*{(21)} G ( t , x ; s , y ) = ∫ R G ( t , x ; r , z ) G ( r , z ; s , y ) d z . (21)
Proof of Theorem 1.1
In this section, we present the proof of Theorem 1.1 . We define
X N ( t ) = 1 N log N S N ( t ) . X_N(t)=\frac{1}{\sqrt{N}\log N}S_N(t). X N ( t ) = N log N 1 S N ( t ) .
We fix 0 < ε < T 0<\varepsilon<T 0 < ε < T . We will prove that for any N ≥ 2 N\ge2 N ≥ 2 , p ≥ 2 p\ge2 p ≥ 2 , α ∈ ( 0 , 1 2 ) \alpha\in\left(0,\frac{1}{2}\right) α ∈ ( 0 , 2 1 ) and t 1 , t 2 ∈ [ ε , T ] t_1,t_2\in[\varepsilon,T] t 1 , t 2 ∈ [ ε , T ] ,
E ∣ X N ( t 2 ) − X N ( t 1 ) ∣ p ≤ C p , α , ε , T ∣ t 2 − t 1 ∣ p α / 2 . (22) \mathbb{E}\lvert X_N(t_2)-X_N(t_1)\rvert^p\le C_{p,\alpha,\varepsilon,T}\lvert t_2-t_1\rvert^{p\alpha/2}. \tag*{(22)} E ∣ X N ( t 2 ) − X N ( t 1 ) ∣ p ≤ C p , α , ε , T ∣ t 2 − t 1 ∣ p α /2 . (22)
Choose p > 4 p>4 p > 4 and 2 / p < α < 1 / 2 2/p<\alpha<1/2 2/ p < α < 1/2 . By the Kolmogorov–Chentsov criterion (Theorem 3.23 of [25 ] ), (22) gives a continuous modification with every Hölder exponent γ < α / 2 − 1 / p \gamma<\alpha/2-1/p γ < α /2 − 1/ p on [ ε , T ] [\varepsilon,T] [ ε , T ] . On the intervals [ 1 / m , m ] [1/m,m] [ 1/ m , m ] , m ≥ 2 m\ge2 m ≥ 2 , the continuous versions agree almost surely on overlaps: they agree at all rational times there, and continuity extends the equality. They therefore define one locally Hölder continuous modification on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . Choosing p p p arbitrarily large and α \alpha α arbitrarily close to 1 / 2 1/2 1/2 proves the asserted exponents.
The laws of X N ( ε ) X_N(\varepsilon) X N ( ε ) are tight by the finite-dimensional convergence of Theorem 1.2 of [21 ] . Together with the uniform increment estimate (22) , whose exponent p α / 2 p\alpha/2 p α /2 exceeds one, the tightness criterion (Corollary 16.9 of [25 ] ) gives tightness in C [ ε , T ] C[\varepsilon,T] C [ ε , T ] . Every subsequential limit has the finite-dimensional laws of 2 B \sqrt{2}B 2 B by the same imported theorem. Since evaluations at a countable dense set determine the law on this continuous-path space, the limit is unique. This proves convergence of the full family.
The remaining part of the article is dedicated to the proof of (22) .
Clark-Ocone representation
In this section, we give a representation of X N ( t ) X_N(t) X N ( t ) , derived from the Clark-Ocone formula (16) .
Recall definition (3) of h h h . We first justify applying the Malliavin chain rule to the logarithm. For fixed t > 0 t>0 t > 0 and x ∈ R x\in\mathbb{R} x ∈ R , strict positivity [1 ] and the imported positive and negative moments in (20) imply log Z ( t , x ) ∈ L 2 ( Ω ) \log Z(t,x)\in L^2(\Omega) log Z ( t , x ) ∈ L 2 ( Ω ) . By (19) , Gaussian factorization and generalized Hölder,
∥ D s , y Z ( t , x ) Z ( t , x ) ∥ 2 ≤ C T p s ( t − s ) / t ( y − s x / t ) , 0 < s < t . \left\lVert\frac{D_{s,y}Z(t,x)}{Z(t,x)}\right\rVert_2\le C_Tp_{s(t-s)/t}(y-sx/t),\qquad0<s<t. Z ( t , x ) D s , y Z ( t , x ) 2 ≤ C T p s ( t − s ) / t ( y − s x / t ) , 0 < s < t .
The square of this bound is integrable in ( s , y ) (s,y) ( s , y ) , since its spatial integral is a constant times [ s ( t − s ) / t ] − 1 / 2 [s(t-s)/t]^{-1/2} [ s ( t − s ) / t ] − 1/2 . Choose smooth truncations ϕ n \phi_n ϕ n of log \log log that agree with it on [ 1 / n , n ] [1/n,n] [ 1/ n , n ] , satisfy ∣ ϕ n ′ ( z ) ∣ ≤ C / z \lvert\phi_n'(z)\rvert\le C/z ∣ ϕ n ′ ( z )∣ ≤ C / z for z > 0 z>0 z > 0 , and ∣ ϕ n ( z ) ∣ ≤ C + ∣ log z ∣ \lvert\phi_n(z)\rvert\le C+\lvert\log z\rvert ∣ ϕ n ( z )∣ ≤ C + ∣ log z ∣ there. For n ≥ 2 n\ge2 n ≥ 2 , choose $\chi_n\in C c ∞ ( ( 0 , ∞ ) ) C_c^\infty((0,\infty)) C c ∞ (( 0 , ∞ )) with 0 ≤ χ n ≤ 1 0\leq\chi_n\leq1 0 ≤ χ n ≤ 1 and χ n = 1 \chi_n=1 χ n = 1 on [ 1 / n , n ] [1/n,n] [ 1/ n , n ] , and set ϕ n ( z ) = ∫ 1 z χ n ( r ) r − 1 d r \phi_n(z)=\int_1^z\chi_n(r)r^{-1}\,dr ϕ n ( z ) = ∫ 1 z χ n ( r ) r − 1 d r for z > 0 z>0 z > 0 . Extend ϕ n \phi_n ϕ n constantly to z ≤ 0 z\leq0 z ≤ 0 ; this is smooth because χ n \chi_n χ n vanishes near zero. Then ∣ ϕ n ( z ) ∣ ≤ ∣ log z ∣ |\phi_n(z)|\leq|\log z| ∣ ϕ n ( z ) ∣ ≤ ∣ log z ∣ and ∣ ϕ n ′ ( z ) ∣ ≤ 1 / z |\phi_n'(z)|\leq1/z ∣ ϕ n ′ ( z ) ∣ ≤ 1/ z for z > 0 z>0 z > 0 , as required. The bounded-derivative chain rule applies to ϕ n ( Z ( t , x ) ) \phi_n(Z(t,x)) ϕ n ( Z ( t , x )) . Dominated convergence gives convergence of the functions in L 2 ( Ω ) L^2(\Omega) L 2 ( Ω ) and of their derivatives in L 2 ( Ω ; H ) L^2(\Omega;H) L 2 ( Ω ; H ) to log Z ( t , x ) \log Z(t,x) log Z ( t , x ) and D Z ( t , x ) / Z ( t , x ) DZ(t,x)/Z(t,x) D Z ( t , x ) / Z ( t , x ) , respectively. Closedness of D D D proves h ( t , x ) ∈ D 1 , 2 h(t,x)\in\mathbb{D}^{1,2} h ( t , x ) ∈ D 1 , 2 and the required chain rule.
Applying the chain rule (15) , followed by the product decomposition (19) of D Z DZ D Z , the initial-value relation (18) , and the definition of G ‾ \overline{\mathcal{G}} G , we get:
D s , y h ( t , x ) = D s , y Z ( t , x ) Z ( t , x ) = G ( t , x ; s , y ) Z ( s , y ) Z ( t , x ) = G ( t , x ; s , y ) G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x ; 0 , 0 ) = p t − s ( x − y ) p s ( y ) p t ( x ) ⋅ G ‾ ( t , x ; s , y ) G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x ; 0 , 0 ) . (23) \begin{aligned}
D_{s,y}h(t,x)&=\frac{D_{s,y}Z(t,x)}{Z(t,x)}
=\frac{\mathcal{G}(t,x;s,y)Z(s,y)}{Z(t,x)}
=\frac{\mathcal{G}(t,x;s,y)\overline{\mathcal{G}}(s,y;0,0)}{\overline{\mathcal{G}}(t,x;0,0)}\\
&=\frac{p_{t-s}(x-y)p_s(y)}{p_t(x)}\cdot\frac{\overline{\mathcal{G}}(t,x;s,y)\overline{\mathcal{G}}(s,y;0,0)}{\overline{\mathcal{G}}(t,x;0,0)}. \tag*{(23)}
\end{aligned} D s , y h ( t , x ) = Z ( t , x ) D s , y Z ( t , x ) = Z ( t , x ) G ( t , x ; s , y ) Z ( s , y ) = G ( t , x ; 0 , 0 ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) = p t ( x ) p t − s ( x − y ) p s ( y ) ⋅ G ( t , x ; 0 , 0 ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) . (23)
We use the following property of the heat kernel: for any t , s > 0 t,s>0 t , s > 0 and x , y ∈ R x,y\in\mathbb{R} x , y ∈ R ,
p t ( x ) p s ( y ) = p t + s ( x − y ) p t s t + s ( s x + t y t + s ) , p_t(x)p_s(y)=p_{t+s}(x-y)p_{\frac{ts}{t+s}}\left(\frac{sx+ty}{t+s}\right), p t ( x ) p s ( y ) = p t + s ( x − y ) p t + s t s ( t + s s x + t y ) ,
(see e.g. Lemma A.4 of [9 ] ). It follows that
p t − s ( x − y ) p s ( y ) p t ( x ) = p s ( t − s ) t ( y − s t x ) = : q s t , x ( y ) . (24) \frac{p_{t-s}(x-y)p_s(y)}{p_t(x)}
=p_{\frac{s(t-s)}{t}}\left(y-\frac{s}{t}x\right)=:q_s^{t,x}(y). \tag*{(24)} p t ( x ) p t − s ( x − y ) p s ( y ) = p t s ( t − s ) ( y − t s x ) =: q s t , x ( y ) . (24)
With the Clark-Ocone formula (16) in mind, we write
E [ D s , y h ( t , x ) ∣ F s ] = A ( t , x ; s , y ) q s t , x ( y ) , \mathbb{E}[D_{s,y}h(t,x)\mid\mathcal{F}_s]=\mathcal{A}(t,x;s,y)q_s^{t,x}(y), E [ D s , y h ( t , x ) ∣ F s ] = A ( t , x ; s , y ) q s t , x ( y ) ,
where
A ( t , x ; s , y ) = E [ G ‾ ( t , x ; s , y ) G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x ; 0 , 0 ) ∣ F s ] . \mathcal{A}(t,x;s,y)=\mathbb{E}\left[\left.\frac{\overline{\mathcal{G}}(t,x;s,y)\overline{\mathcal{G}}(s,y;0,0)}{\overline{\mathcal{G}}(t,x;0,0)}\right|\mathcal{F}_s\right]. A ( t , x ; s , y ) = E [ G ( t , x ; 0 , 0 ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) F s ] .
We say that A \mathcal{A} A is the Clark–Ocone kernel ; see also (22) of [21 ] . Therefore,
h ( t , x ) − E [ h ( t , x ) ] = ∫ 0 t ∫ R A ( t , x ; s , y ) q s t , x ( y ) ξ ( d s , d y ) . h(t,x)-\mathbb{E}[h(t,x)]=\int_0^t\int_{\mathbb{R}}\mathcal{A}(t,x;s,y)q_s^{t,x}(y)\xi(ds,dy). h ( t , x ) − E [ h ( t , x )] = ∫ 0 t ∫ R A ( t , x ; s , y ) q s t , x ( y ) ξ ( d s , d y ) .
The moment bound of Lemma 3.1, proved below using only the imported Green-kernel moments, gives the stochastic Fubini integrability condition. Indeed, for fixed t > 0 t>0 t > 0 ,
∫ 0 N ( ∫ 0 t ∫ R ∥ A ( t , x ; s , y ) q s t , x ( y ) ∥ 2 2 d y d s ) 1 / 2 d x ≤ C T N ( ∫ 0 t ( s ( t − s ) t ) − 1 / 2 d s ) 1 / 2 < ∞ . \int_0^N\left(\int_0^t\int_{\mathbb{R}}\|\mathcal{A}(t,x;s,y)q_s^{t,x}(y)\|_2^2\,dy\,ds\right)^{1/2}dx
\leq C_TN\left(\int_0^t\left(\frac{s(t-s)}{t}\right)^{-1/2}ds\right)^{1/2}<\infty. ∫ 0 N ( ∫ 0 t ∫ R ∥ A ( t , x ; s , y ) q s t , x ( y ) ∥ 2 2 d y d s ) 1/2 d x ≤ C T N ( ∫ 0 t ( t s ( t − s ) ) − 1/2 d s ) 1/2 < ∞.
Here ∫ R p a ( y ) 2 d y = ( 4 π a ) − 1 / 2 \int_{\mathbb{R}}p_a(y)^2dy=(4\pi a)^{-1/2} ∫ R p a ( y ) 2 d y = ( 4 π a ) − 1/2 , and both endpoint singularities in the time integral are integrable. To choose the conditional integrands jointly in x x x , we take the predictable projection in the product space L 2 ( [ 0 , N ] × [ 0 , t ] × R × Ω ) L^2([0,N]\times[0,t]\times\mathbb{R}\times\Omega) L 2 ([ 0 , N ] × [ 0 , t ] × R × Ω ) , with Lebesgue measure in the first three variables. The spatial parameter is retained in this projection. The displayed bound, uniformly for x ∈ [ 0 , N ] x\in[0,N] x ∈ [ 0 , N ] , also gives finiteness of this product-space norm. For almost every x x x , the projected integrand is the predictable conditional expectation in the Clark–Ocone formula. Thus, the jointly measurable predictable integrand satisfies the stochastic Fubini condition displayed above. Therefore, by the stochastic Fubini theorem,
X N ( t ) = 1 N log N ∫ 0 t ∫ R ( ∫ 0 N A ( t , x ; s , y ) q s t , x ( y ) d x ) ξ ( d s , d y ) . (25) X_N(t)=\frac{1}{\sqrt{N\log N}}\int_0^t\int_{\mathbb{R}}\left(\int_0^N A(t,x;s,y)q_s^{t,x}(y)\,dx\right)\xi(ds,dy). \tag*{(25)} X N ( t ) = N log N 1 ∫ 0 t ∫ R ( ∫ 0 N A ( t , x ; s , y ) q s t , x ( y ) d x ) ξ ( d s , d y ) . (25)
Lemma 3.1. For any p ≥ 1 p\ge1 p ≥ 1 and T > 0 T>0 T > 0 ,
sup 0 ≤ s < t ≤ T x , y ∈ R ∥ A ( t , x ; s , y ) ∥ p < ∞ . \sup_{\substack{0\le s<t\le T\\x,y\in\mathbb{R}}}\|A(t,x;s,y)\|_p<\infty. 0 ≤ s < t ≤ T x , y ∈ R sup ∥ A ( t , x ; s , y ) ∥ p < ∞. Proof. By Jensen’s inequality for conditional expectation and generalized Hölder’s inequality,
∥ A ( t , x ; s , y ) ∥ p ≤ ∥ G ‾ ( t , x ; s , y ) G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x ; 0 , 0 ) ∥ p \|A(t,x;s,y)\|_p\le\left\|\frac{\overline{G}(t,x;s,y)\overline{G}(s,y;0,0)}{\overline{G}(t,x;0,0)}\right\|_p ∥ A ( t , x ; s , y ) ∥ p ≤ G ( t , x ; 0 , 0 ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) p ≤ ∥ G ‾ ( t , x ; s , y ) ∥ 3 p ∥ G ‾ ( s , y ; 0 , 0 ) ∥ 3 p ∥ G ‾ ( t , x ; 0 , 0 ) − 1 ∥ 3 p . \le\|\overline{G}(t,x;s,y)\|_{3p}\|\overline{G}(s,y;0,0)\|_{3p}\|\overline{G}(t,x;0,0)^{-1}\|_{3p}. ≤ ∥ G ( t , x ; s , y ) ∥ 3 p ∥ G ( s , y ; 0 , 0 ) ∥ 3 p ∥ G ( t , x ; 0 , 0 ) − 1 ∥ 3 p . The conclusion follows by relation (20) . In particular, the inverse factor uses the moment estimate at order − 3 p -3p − 3 p ; the first two factors use order 3 p 3p 3 p .
Increment analysis
This section is the core of the proof of Theorem 1.1 , and consists of a detailed analysis of the increments of X N X_N X N .
Let 0 < ε ≤ t 1 < t 2 ≤ T 0<\varepsilon\le t_1<t_2\le T 0 < ε ≤ t 1 < t 2 ≤ T be arbitrary. Using (25) , we write
X N ( t 2 ) − X N ( t 1 ) = 1 N log N ∫ t 1 t 2 ∫ R ( ∫ 0 N A ( t 2 , x ; s , y ) q s t 2 , x ( y ) d x ) ξ ( d s , d y ) + 1 N log N ∫ 0 t 1 ∫ R ( ∫ 0 N ( A ( t 2 , x ; s , y ) q s t 2 , x ( y ) − A ( t 1 , x ; s , y ) q s t 1 , x ( y ) ) d x ) ξ ( d s , d y ) = I N ( t 1 , t 2 ) + J N ( t 1 , t 2 ) . (26) \begin{aligned}
X_N(t_2)-X_N(t_1)
={}&\frac{1}{\sqrt{N\log N}}\int_{t_1}^{t_2}\int_{\mathbb{R}}\left(\int_0^N A(t_2,x;s,y)q_s^{t_2,x}(y)\,dx\right)\xi(ds,dy)\\
&+\frac{1}{\sqrt{N\log N}}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_0^N\left(A(t_2,x;s,y)q_s^{t_2,x}(y)-A(t_1,x;s,y)q_s^{t_1,x}(y)\right)\,dx\right)\xi(ds,dy)\\
={}&I_N(t_1,t_2)+J_N(t_1,t_2). \tag*{(26)}
\end{aligned} X N ( t 2 ) − X N ( t 1 ) = = N log N 1 ∫ t 1 t 2 ∫ R ( ∫ 0 N A ( t 2 , x ; s , y ) q s t 2 , x ( y ) d x ) ξ ( d s , d y ) + N log N 1 ∫ 0 t 1 ∫ R ( ∫ 0 N ( A ( t 2 , x ; s , y ) q s t 2 , x ( y ) − A ( t 1 , x ; s , y ) q s t 1 , x ( y ) ) d x ) ξ ( d s , d y ) I N ( t 1 , t 2 ) + J N ( t 1 , t 2 ) . (26)
We study separately the moments of I N I_N I N and J N J_N J N . We begin with I N I_N I N .
Proposition 3.2. For any p ≥ 2 p\ge2 p ≥ 2 , N ≥ 2 N\ge2 N ≥ 2 , and 0 < ε ≤ t 1 < t 2 ≤ T 0<\varepsilon\le t_1<t_2\le T 0 < ε ≤ t 1 < t 2 ≤ T ,
E ∣ I N ( t 1 , t 2 ) ∣ p ≤ C p , ε , T ( t 2 − t 1 ) p / 2 . \mathbb{E}|I_N(t_1,t_2)|^p\le C_{p,\varepsilon,T}(t_2-t_1)^{p/2}. E ∣ I N ( t 1 , t 2 ) ∣ p ≤ C p , ε , T ( t 2 − t 1 ) p /2 . Proof. By inequality (12) , Minkowski’s inequality, and Lemma 3.1,
∥ I N ( t 1 , t 2 ) ∥ 2 2 ≤ z p 2 N log N ∫ t 1 t 2 ∫ R ∥ ∫ 0 N A ( t 2 , x ; s , y ) q s t 2 , x ( y ) d x ∥ p 2 d y d s \|I_N(t_1,t_2)\|_2^2\le\frac{z_p^2}{N\log N}\int_{t_1}^{t_2}\int_{\mathbb{R}}\left\|\int_0^N A(t_2,x;s,y)q_s^{t_2,x}(y)\,dx\right\|_p^2\,dy\,ds ∥ I N ( t 1 , t 2 ) ∥ 2 2 ≤ N log N z p 2 ∫ t 1 t 2 ∫ R ∫ 0 N A ( t 2 , x ; s , y ) q s t 2 , x ( y ) d x p 2 d y d s ≤ z p 2 N log N ∫ t 1 t 2 ∫ R ( ∫ 0 N ∥ A ( t 2 , x ; s , y ) ∥ p q s t 2 , x ( y ) d x ) 2 d y d s \le\frac{z_p^2}{N\log N}\int_{t_1}^{t_2}\int_{\mathbb{R}}\left(\int_0^N\|A(t_2,x;s,y)\|_p q_s^{t_2,x}(y)\,dx\right)^2\,dy\,ds ≤ N log N z p 2 ∫ t 1 t 2 ∫ R ( ∫ 0 N ∥ A ( t 2 , x ; s , y ) ∥ p q s t 2 , x ( y ) d x ) 2 d y d s ≤ C p , T N log N ∫ t 1 t 2 ∫ R ( ∫ 0 N q s t 2 , x ( y ) d x ) 2 d y d s . (27) \le\frac{C_{p,T}}{N\log N}\int_{t_1}^{t_2}\int_{\mathbb{R}}\left(\int_0^N q_s^{t_2,x}(y)\,dx\right)^2\,dy\,ds. \tag*{(27)} ≤ N log N C p , T ∫ t 1 t 2 ∫ R ( ∫ 0 N q s t 2 , x ( y ) d x ) 2 d y d s . (27)
Using definition (24) of q s t , x q_s^{t,x} q s t , x and the semigroup property p t ∗ p s = p t + s p_t \ast p_s=p_{t+s} p t ∗ p s = p t + s , we see that
∫ R ( ∫ 0 N q s t , x ( y ) d x ) 2 d y = ∫ 0 N ∫ 0 N p 2 s ( t − s ) t ( s t ( u − v ) ) d u d v ≤ ∫ 0 N ∫ R p 2 s ( t − s ) t ( s t ( u − v ) ) d u d v = N t s ≤ N T ε . (28) \begin{aligned}
\int_{\mathbb{R}}\left(\int_0^N q_s^{t,x}(y)\,\mathrm{d}x\right)^2\mathrm{d}y
=\int_0^N\int_0^N p_{\frac{2s(t-s)}{t}}\left(\frac{s}{t}(u-v)\right)\mathrm{d}u\mathrm{d}v \\
&\leq\int_0^N\int_{\mathbb{R}}p_{\frac{2s(t-s)}{t}}\left(\frac{s}{t}(u-v)\right)\mathrm{d}u\mathrm{d}v
=\frac{Nt}{s}\leq\frac{NT}{\varepsilon}. \tag*{(28)}
\end{aligned} ∫ R ( ∫ 0 N q s t , x ( y ) d x ) 2 d y = ∫ 0 N ∫ 0 N p t 2 s ( t − s ) ( t s ( u − v ) ) d u d v ≤ ∫ 0 N ∫ R p t 2 s ( t − s ) ( t s ( u − v ) ) d u d v = s N t ≤ ε N T . (28)
Therefore,
∥ I N ( t 1 , t 2 ) ∥ p 2 ≤ C p , T T ε log N ( t 2 − t 1 ) ≤ C p , ε , T ( t 2 − t 1 ) , \lVert I_N(t_1,t_2)\rVert_p^2\leq\frac{C_{p,T}T}{\varepsilon\log N}(t_2-t_1)\leq C_{p,\varepsilon,T}(t_2-t_1), ∥ I N ( t 1 , t 2 ) ∥ p 2 ≤ ε log N C p , T T ( t 2 − t 1 ) ≤ C p , ε , T ( t 2 − t 1 ) ,
since N ≥ 2 N\geq2 N ≥ 2 . Raising this bound to the power p / 2 p/2 p /2 proves the claim.
It remains to estimate E ∣ J N ( t 1 , t 2 ) ∣ p \mathbb{E}|J_N(t_1,t_2)|^p E ∣ J N ( t 1 , t 2 ) ∣ p . For this, we may try to add and subtract A ( t 1 , x ; s , y ) q s t 2 , x ( y ) \mathcal{A}(t_1,x;s,y)q_s^{t_2,x}(y) A ( t 1 , x ; s , y ) q s t 2 , x ( y ) . As in the proof of Proposition 3.2, this would lead to ∥ A ( t 2 , x ; s , y ) − A ( t 1 , x ; s , y ) ∥ p \lVert\mathcal{A}(t_2,x;s,y)-\mathcal{A}(t_1,x;s,y)\rVert_p ∥ A ( t 2 , x ; s , y ) − A ( t 1 , x ; s , y ) ∥ p , and subsequently to ∥ G ‾ ( t 2 , x ; s , y ) − G ‾ ( t 1 , x ; s , y ) ∥ 4 p \lVert\overline{\mathcal{G}}(t_2,x;s,y)-\overline{\mathcal{G}}(t_1,x;s,y)\rVert_{4p} ∥ G ( t 2 , x ; s , y ) − G ( t 1 , x ; s , y ) ∥ 4 p . But this approach is not feasible. See also Remark 4.3 of [21 ] . Therefore, we pursue a different method here.
Using the change of variable x = t u x=tu x = t u , we write:
∫ 0 N A ( t , x ; s , y ) q s t , x ( y ) d x = ∫ 0 N / t t A ( t , t u ; s , y ) q s t , t u ( y ) d u . (29) \int_0^N\mathcal{A}(t,x;s,y)q_s^{t,x}(y)\,\mathrm{d}x
=\int_0^{N/t}t\mathcal{A}(t,tu;s,y)q_s^{t,tu}(y)\,\mathrm{d}u. \tag*{(29)} ∫ 0 N A ( t , x ; s , y ) q s t , x ( y ) d x = ∫ 0 N / t t A ( t , t u ; s , y ) q s t , t u ( y ) d u . (29)
We call u u u the ray variable . We apply this for t = t 1 t=t_1 t = t 1 and t = t 2 t=t_2 t = t 2 . This leads to the following “common-ray expression” for J N J_N J N :
J N ( t 1 , t 2 ) = 1 N log N ∫ 0 t 1 ∫ R ∫ 0 N / t 2 t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) d u ξ ( d s , d y ) − 1 N log N ∫ 0 t 1 ∫ R ∫ 0 N / t 1 t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) d u ξ ( d s , d y ) . (30) \begin{aligned}
J_N(t_1,t_2)
={}&\frac{1}{\sqrt{N\log N}}\int_0^{t_1}\int_{\mathbb{R}}\int_0^{N/t_2}t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)\,\mathrm{d}u\,\xi(\mathrm{d}s,\mathrm{d}y)\\
&-\frac{1}{\sqrt{N\log N}}\int_0^{t_1}\int_{\mathbb{R}}\int_0^{N/t_1}t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\,\mathrm{d}u\,\xi(\mathrm{d}s,\mathrm{d}y). \tag*{(30)}
\end{aligned} J N ( t 1 , t 2 ) = N log N 1 ∫ 0 t 1 ∫ R ∫ 0 N / t 2 t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) d u ξ ( d s , d y ) − N log N 1 ∫ 0 t 1 ∫ R ∫ 0 N / t 1 t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) d u ξ ( d s , d y ) . (30)
The difficulty is to transform this expression into a form in which the two A \mathcal{A} A integrands have the same time variable t 1 t_1 t 1 .
We first show that the moments of J N ( t 1 , t 2 ) J_N(t_1,t_2) J N ( t 1 , t 2 ) are uniformly bounded, which yields trivially the desired bound (22) , when t 1 , t 2 t_1,t_2 t 1 , t 2 are far apart , i.e. t 2 − t 1 > ε 2 t_2-t_1>\frac{\varepsilon}{2} t 2 − t 1 > 2 ε .
Proposition 3.3. For any p ≥ 2 p\geq2 p ≥ 2 , N ≥ 2 N\geq2 N ≥ 2 , and 0 < ε ≤ t 1 < t 2 ≤ T 0<\varepsilon\leq t_1<t_2\leq T 0 < ε ≤ t 1 < t 2 ≤ T ,
E ∣ J N ( t 1 , t 2 ) ∣ p ≤ C p , ε , T . (31) \mathbb{E}|J_N(t_1,t_2)|^p\leq C_{p,\varepsilon,T}. \tag*{(31)} E ∣ J N ( t 1 , t 2 ) ∣ p ≤ C p , ε , T . (31) Consequently, if t 2 − t 1 > ε 2 t_2-t_1>\frac{\varepsilon}{2} t 2 − t 1 > 2 ε , for any α > 0 \alpha>0 α > 0 ,
E ∣ J N ( t 1 , t 2 ) ∣ p ≤ C p , α , ε , T ( t 2 − t 1 ) p α / 2 . (32) \mathbb{E}|J_N(t_1,t_2)|^p\leq C_{p,\alpha,\varepsilon,T}(t_2-t_1)^{p\alpha/2}. \tag*{(32)} E ∣ J N ( t 1 , t 2 ) ∣ p ≤ C p , α , ε , T ( t 2 − t 1 ) p α /2 . (32)
Proof. We use decomposition (30) , written as J N = : J N ( 2 ) − J N ( 1 ) J_N=:J_N^{(2)}-J_N^{(1)} J N =: J N ( 2 ) − J N ( 1 ) . By Minkowski’s inequality,
∥ J N ∥ p 2 ≤ 2 ( ∥ J N ( 1 ) ∥ p 2 + ∥ J N ( 2 ) ∥ p 2 ) . \lVert J_N\rVert_p^2\leq2\left(\lVert J_N^{(1)}\rVert_p^2+\lVert J_N^{(2)}\rVert_p^2\right). ∥ J N ∥ p 2 ≤ 2 ( ∥ J N ( 1 ) ∥ p 2 + ∥ J N ( 2 ) ∥ p 2 ) .
We treat the two terms by the same method: for i = 1 , 2 i=1,2 i = 1 , 2 , as in the proof of Proposition 3.2, using (12) and Minkowski’s inequality,
∥ J N ( i ) ∥ p 2 ≤ z p 2 t i 2 N log N ∫ 0 t 1 ∫ R ( ∫ 0 N / t i ∥ A ( t i , t i u ; s , y ) ∥ p s t i , t i u ( y ) d u ) 2 d y d s ≤ C p , T N log N ∫ 0 t 1 ∫ R ( ∫ 0 N / t i q s t i , t i u ( y ) d u ) 2 d y d s . \begin{aligned}
\left\|J_N^{(i)}\right\|_p^2 \le\frac{z_p^2t_i^2}{N\log N}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_0^{N/t_i}\left\|\mathcal{A}(t_i,t_i u;s,y)\right\|p_s^{t_i,t_i u}(y)\,du\right)^2\,dy\,ds \\
&\le\frac{C_{p,T}}{N\log N}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_0^{N/t_i}q_s^{t_i,t_i u}(y)\,du\right)^2\,dy\,ds.
\end{aligned} J N ( i ) p 2 ≤ N log N z p 2 t i 2 ∫ 0 t 1 ∫ R ( ∫ 0 N / t i ∥ A ( t i , t i u ; s , y ) ∥ p s t i , t i u ( y ) d u ) 2 d y d s ≤ N log N C p , T ∫ 0 t 1 ∫ R ( ∫ 0 N / t i q s t i , t i u ( y ) d u ) 2 d y d s .
Recalling definition (3.3) of q q q , we see that q s t i , t i u ( y ) = p s ( t i − s ) t i ( y − s u ) q_s^{t_i,t_i u}(y)=p_{\frac{s(t_i-s)}{t_i}}(y-su) q s t i , t i u ( y ) = p t i s ( t i − s ) ( y − s u ) . By Lemma A.4,
∥ J N ( i ) ∥ p 2 ≤ C p , ε , T N log N ∫ 0 t 1 ( N s ∧ N 2 s ) d s . \left\|J_N^{(i)}\right\|_p^2\le\frac{C_{p,\varepsilon,T}}{N\log N}\int_0^{t_1}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right)\,ds. J N ( i ) p 2 ≤ N log N C p , ε , T ∫ 0 t 1 ( s N ∧ s N 2 ) d s .
We analyze the integral above. If t 1 > N − 2 t_1>N^{-2} t 1 > N − 2 , we write it as the sum of integrals on [ 0 , N − 2 ] [0,N^{-2}] [ 0 , N − 2 ] and [ N − 2 , t 1 ] [N^{-2},t_1] [ N − 2 , t 1 ] and we bound the integrand differently on each region:
∫ 0 t 1 ( N s ∧ N 2 s ) d s ≤ ∫ 0 N − 2 N 2 s d s + ∫ N − 2 t 1 N s d s = 2 N + N log ( t 1 N 2 ) ≤ C T N log N , \int_0^{t_1}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right)\,ds\le\int_0^{N^{-2}}\frac{N^2}{\sqrt{s}}\,ds+\int_{N^{-2}}^{t_1}\frac{N}{s}\,ds=2N+N\log(t_1N^2)\le C_TN\log N, ∫ 0 t 1 ( s N ∧ s N 2 ) d s ≤ ∫ 0 N − 2 s N 2 d s + ∫ N − 2 t 1 s N d s = 2 N + N log ( t 1 N 2 ) ≤ C T N log N ,
whereas if t 1 ≤ N − 2 t_1\le N^{-2} t 1 ≤ N − 2 ,
∫ 0 t 1 ( N s ∧ N 2 s ) d s ≤ ∫ 0 N − 2 N 2 s d s = 2 N ≤ 2 log 2 N log N . \int_0^{t_1}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right)\,ds\le\int_0^{N^{-2}}\frac{N^2}{\sqrt{s}}\,ds=2N\le\frac{2}{\log2}N\log N. ∫ 0 t 1 ( s N ∧ s N 2 ) d s ≤ ∫ 0 N − 2 s N 2 d s = 2 N ≤ log 2 2 N log N .
This proves (31) . Relation (32) follows immediately from (31) .
It remains to estimate E ∣ J N ( t 1 , t 2 ) ∣ p \mathbb{E}|J_N(t_1,t_2)|^p E ∣ J N ( t 1 , t 2 ) ∣ p in the case when t 1 , t 2 t_1,t_2 t 1 , t 2 are close to each other , i.e. t 1 < t 2 ≤ t 1 + ε 2 t_1<t_2\le t_1+\frac{\varepsilon}{2} t 1 < t 2 ≤ t 1 + 2 ε . This will require significant effort.
We return to decomposition (30) . We write the integral on [ 0 , N / t 1 ] [0,N/t_1] [ 0 , N / t 1 ] as the sum of integrals on [ 0 , N / t 2 ] [0,N/t_2] [ 0 , N / t 2 ] and [ N / t 2 , N / t 1 ] [N/t_2,N/t_1] [ N / t 2 , N / t 1 ] . Thus, we arrive at the decomposition:
J N ( t 1 , t 2 ) = J N ′ ( t 1 , t 2 ) − J N ′ ′ ( t 1 , t 2 ) , (33) J_N(t_1,t_2)=J_N'(t_1,t_2)-J_N''(t_1,t_2), \tag*{(33)} J N ( t 1 , t 2 ) = J N ′ ( t 1 , t 2 ) − J N ′′ ( t 1 , t 2 ) , (33)
where
J N ′ ( t 1 , t 2 ) = 1 N log N ∫ 0 t 1 ∫ R ( ∫ 0 N / t 2 ( t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) ) d u ) ξ ( d s , d y ) J_N'(t_1,t_2)=\frac{1}{\sqrt{N\log N}}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_0^{N/t_2}\left(t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)-t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\right)\,du\right)\xi(ds,dy) J N ′ ( t 1 , t 2 ) = N log N 1 ∫ 0 t 1 ∫ R ( ∫ 0 N / t 2 ( t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) ) d u ) ξ ( d s , d y )
J N ′ ′ ( t 1 , t 2 ) = 1 N log N ∫ 0 t 1 ∫ R ( ∫ N / t 2 N / t 1 t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) d u ) ξ ( d s , d y ) . J_N''(t_1,t_2)=\frac{1}{\sqrt{N\log N}}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_{N/t_2}^{N/t_1}t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\,du\right)\xi(ds,dy). J N ′′ ( t 1 , t 2 ) = N log N 1 ∫ 0 t 1 ∫ R ( ∫ N / t 2 N / t 1 t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) d u ) ξ ( d s , d y ) .
We study separately J N ′ J_N' J N ′ and J N ′ ′ J_N'' J N ′′ . The next result examines J N ′ ′ J_N'' J N ′′ , which is simpler, since it does not contain an A \mathcal{A} A -increment. (The restriction t 2 − t 1 ≤ ε 2 t_2-t_1\le\frac{\varepsilon}{2} t 2 − t 1 ≤ 2 ε is not needed for J N ′ J_N' J N ′ .)
Proposition 3.4. For any p ≥ 2 p \ge2 p ≥ 2 , N ≥ 2 N \ge2 N ≥ 2 and 0 < ε ≤ t 1 < t 2 ≤ T 0 < \varepsilon\le t_1 < t_2 \le T 0 < ε ≤ t 1 < t 2 ≤ T ,
E ∣ J N ′ ′ ( t 1 , t 2 ) ∣ p ≤ C p , ε , T ( t 2 − t 1 ) p / 2 . \mathbb{E}\left|J_N^{\prime\prime}(t_1,t_2)\right|^p \le C_{p,\varepsilon,T}(t_2-t_1)^{p/2}. E ∣ J N ′′ ( t 1 , t 2 ) ∣ p ≤ C p , ε , T ( t 2 − t 1 ) p /2 .
Proof. As in the proof of Proposition 3.2, by (12) and Minkowski’s inequality,
∥ J N ′ ′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , T N log N ∫ 0 t 1 ∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d s d y . \left\|J_N^{\prime\prime}(t_1,t_2)\right\|_p^2 \le\frac{C_{p,T}}{N\log N}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_{N/t_2}^{N/t_1}q_s^{t_1,t_1u}(y)\,\mathrm{d}u\right)^2\mathrm{d}s\mathrm{d}y. ∥ J N ′′ ( t 1 , t 2 ) ∥ p 2 ≤ N log N C p , T ∫ 0 t 1 ∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d s d y .
We denote ℓ = N t 1 − N t 2 > 0 \ell=\frac{N}{t_1}-\frac{N}{t_2}>0 ℓ = t 1 N − t 2 N > 0 . We claim that:
∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d y ≤ C T { ℓ s ∧ ℓ 2 s ( t 1 − s ) } . (34) \int_{\mathbb{R}}\left(\int_{N/t_2}^{N/t_1}q_s^{t_1,t_1u}(y)\,\mathrm{d}u\right)^2\mathrm{d}y\le C_T\left\{\frac{\ell}{s}\wedge\frac{\ell^2}{\sqrt{s(t_1-s)}}\right\}. \tag*{(34)} ∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d y ≤ C T { s ℓ ∧ s ( t 1 − s ) ℓ 2 } . (34)
Indeed, as for (28) , by the semigroup property,
∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d y = ∫ N / t 2 N / t 1 ∫ N / t 2 N / t 1 p 2 s ( t 1 − s ) t 1 ( s ( u − v ) ) d u d v ≤ ∫ N / t 2 N / t 1 ∫ R p 2 s ( t 1 − s ) t 1 ( s ( u − v ) ) d u d v = ℓ s . \begin{aligned}
\int_{\mathbb{R}}\left(\int_{N/t_2}^{N/t_1}q_s^{t_1,t_1u}(y)\,\mathrm{d}u\right)^2\mathrm{d}y
=\int_{N/t_2}^{N/t_1}\int_{N/t_2}^{N/t_1}p_{\frac{2s(t_1-s)}{t_1}}\bigl(s(u-v)\bigr)\,\mathrm{d}u\mathrm{d}v \\
&\le\int_{N/t_2}^{N/t_1}\int_{\mathbb{R}}p_{\frac{2s(t_1-s)}{t_1}}\bigl(s(u-v)\bigr)\,\mathrm{d}u\mathrm{d}v=\frac{\ell}{s}.
\end{aligned} ∫ R ( ∫ N / t 2 N / t 1 q s t 1 , t 1 u ( y ) d u ) 2 d y = ∫ N / t 2 N / t 1 ∫ N / t 2 N / t 1 p t 1 2 s ( t 1 − s ) ( s ( u − v ) ) d u d v ≤ ∫ N / t 2 N / t 1 ∫ R p t 1 2 s ( t 1 − s ) ( s ( u − v ) ) d u d v = s ℓ .
The second bound follows since p 2 s ( t 1 − s ) t 1 ( s ( u − v ) ) ≤ ( 4 π s ( t 1 − s ) t 1 ) − 1 / 2 ≤ C T s ( t 1 − s ) p_{\frac{2s(t_1-s)}{t_1}}\bigl(s(u-v)\bigr)\le\left(4\pi\frac{s(t_1-s)}{t_1}\right)^{-1/2}\le\frac{C_T}{\sqrt{s(t_1-s)}} p t 1 2 s ( t 1 − s ) ( s ( u − v ) ) ≤ ( 4 π t 1 s ( t 1 − s ) ) − 1/2 ≤ s ( t 1 − s ) C T .
It follows that
∥ J N ′ ′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , T N log N ∫ 0 t 1 { ℓ s ∧ ℓ 2 s ( t 1 − s ) } d s . \left\|J_N^{\prime\prime}(t_1,t_2)\right\|_p^2\le\frac{C_{p,T}}{N\log N}\int_0^{t_1}\left\{\frac{\ell}{s}\wedge\frac{\ell^2}{\sqrt{s(t_1-s)}}\right\}\mathrm{d}s. ∥ J N ′′ ( t 1 , t 2 ) ∥ p 2 ≤ N log N C p , T ∫ 0 t 1 { s ℓ ∧ s ( t 1 − s ) ℓ 2 } d s .
We write the integral above as the sum of integrals on [ 0 , t 1 2 ] [0,\frac{t_1}{2}] [ 0 , 2 t 1 ] and [ t 1 2 , t 1 ] [\frac{t_1}{2},t_1] [ 2 t 1 , t 1 ] , which we call I 1 I_1 I 1 and I 2 I_2 I 2 , respectively.
We examine I 1 I_1 I 1 first. If t 1 2 > ℓ − 2 \frac{t_1}{2}>\ell^{-2} 2 t 1 > ℓ − 2 , we split the integral on [ 0 , t 1 2 ] [0,\frac{t_1}{2}] [ 0 , 2 t 1 ] as the sum of integrals on [ 0 , ℓ − 2 ] [0,\ell^{-2}] [ 0 , ℓ − 2 ] and [ ℓ − 2 , t 1 2 ] [\ell^{-2},\frac{t_1}{2}] [ ℓ − 2 , 2 t 1 ] and we bound differently the integrand on the two regions:
I 1 ≤ ∫ 0 ℓ − 2 ℓ 2 s ( t 1 − s ) d s + ∫ ℓ − 2 t 1 / 2 ℓ s d s ≤ 2 ε ℓ 2 ∫ 0 ℓ − 2 1 s d s + ℓ [ log ( t 1 2 ) − log ℓ − 2 ] = 2 2 ε ℓ + ℓ log ( t 1 ℓ 2 2 ) ≤ C ε , T ℓ [ 1 + log ( 1 + ℓ ) ] ≤ C ε , T ℓ log N , \begin{aligned}
I_1\le\int_0^{\ell^{-2}}\frac{\ell^2}{\sqrt{s(t_1-s)}}\mathrm{d}s+\int_{\ell^{-2}}^{t_1/2}\frac{\ell}{s}\mathrm{d}s\le\sqrt{\frac{2}{\varepsilon}}\ell^2\int_0^{\ell^{-2}}\frac{1}{\sqrt{s}}\mathrm{d}s+\ell\left[\log\left(\frac{t_1}{2}\right)-\log\ell^{-2}\right] \\
&=2\sqrt{\frac{2}{\varepsilon}}\ell+\ell\log\left(\frac{t_1\ell^2}{2}\right)\le C_{\varepsilon,T}\ell[1+\log(1+\ell)]\le C_{\varepsilon,T}\ell\log N,
\end{aligned} I 1 ≤ ∫ 0 ℓ − 2 s ( t 1 − s ) ℓ 2 d s + ∫ ℓ − 2 t 1 /2 s ℓ d s ≤ ε 2 ℓ 2 ∫ 0 ℓ − 2 s 1 d s + ℓ [ log ( 2 t 1 ) − log ℓ − 2 ] = 2 ε 2 ℓ + ℓ log ( 2 t 1 ℓ 2 ) ≤ C ε , T ℓ [ 1 + log ( 1 + ℓ )] ≤ C ε , T ℓ log N ,
where for the last inequality, we used the fact that ℓ = N t 2 − t 1 t 1 t 2 ≤ N T ε 2 \ell=N\frac{t_2-t_1}{t_1t_2}\le\frac{NT}{\varepsilon^2} ℓ = N t 1 t 2 t 2 − t 1 ≤ ε 2 N T , and hence
1 + log ( 1 + ℓ ) ≤ 1 + log ( 1 + N T ε 2 ) ≤ C ε , T log N . 1+\log(1+\ell)\le1+\log\left(1+\frac{NT}{\varepsilon^2}\right)\le C_{\varepsilon,T}\log N. 1 + log ( 1 + ℓ ) ≤ 1 + log ( 1 + ε 2 N T ) ≤ C ε , T log N .
If t 1 2 ≤ ℓ − 2 \frac{t_1}{2}\le\ell^{-2} 2 t 1 ≤ ℓ − 2 , then
I 1 ≤ ℓ 2 ∫ 0 t 1 / 2 d s s ( t 1 − s ) ≤ 2 ε ℓ 2 ∫ 0 ℓ − 2 s − 1 / 2 d s = 2 2 ε ℓ . I_1\le\ell^2\int_0^{t_1/2}\frac{\mathrm{d}s}{\sqrt{s(t_1-s)}}\le\sqrt{\frac{2}{\varepsilon}}\ell^2\int_0^{\ell^{-2}}s^{-1/2}\mathrm{d}s=2\sqrt{\frac{2}{\varepsilon}}\ell. I 1 ≤ ℓ 2 ∫ 0 t 1 /2 s ( t 1 − s ) d s ≤ ε 2 ℓ 2 ∫ 0 ℓ − 2 s − 1/2 d s = 2 ε 2 ℓ .
For I 2 \mathcal{I}_2 I 2 , we have:
I 2 ≤ ∫ t 1 / 2 t 1 ℓ s d s = ℓ ( log t 1 − log t 1 2 ) = ℓ log 2. \mathcal{I}_2 \le\int_{t_1/2}^{t_1} \frac{\ell}{s}\,ds = \ell\left(\log t_1-\log\frac{t_1}{2}\right)=\ell\log2. I 2 ≤ ∫ t 1 /2 t 1 s ℓ d s = ℓ ( log t 1 − log 2 t 1 ) = ℓ log 2.
Combining these estimates, we obtain that I 1 + I 2 ≤ C p , ε , T ℓ log N \mathcal{I}_1+\mathcal{I}_2\le C_{p,\varepsilon,T}\ell\log N I 1 + I 2 ≤ C p , ε , T ℓ log N . Hence,
∥ J N ′ ′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , ε , T ℓ N = C p , ε , T t 2 − t 1 t 1 t 2 ≤ C p , ε , T t 2 − t 1 ε 2 . \left\|J_N''(t_1,t_2)\right\|_p^2\le C_{p,\varepsilon,T}\frac{\ell}{N}=C_{p,\varepsilon,T}\frac{t_2-t_1}{t_1t_2}\le C_{p,\varepsilon,T}\frac{t_2-t_1}{\varepsilon^2}. ∥ J N ′′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , ε , T N ℓ = C p , ε , T t 1 t 2 t 2 − t 1 ≤ C p , ε , T ε 2 t 2 − t 1 .
The study of J N ′ ( t 1 , t 2 ) J_N'(t_1,t_2) J N ′ ( t 1 , t 2 ) is more involved. Recalling (3.2) and (3.3), we define
R ( t , x ; s , y ) : = D s , y h ( t , x ) = G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) G ( t , x ; 0 , 0 ) = q s t , x ( y ) G ‾ ( t , x ; s , y ) G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x ; 0 , 0 ) , (35) \mathcal{R}(t,x;s,y):=D_{s,y}h(t,x)=\frac{\mathcal{G}(t,x;s,y)\mathcal{G}(s,y;0,0)}{\mathcal{G}(t,x;0,0)}
=\frac{q_s^{t,x}(y)\overline{\mathcal{G}}(t,x;s,y)\overline{\mathcal{G}}(s,y;0,0)}{\overline{\mathcal{G}}(t,x;0,0)}, \tag*{(35)} R ( t , x ; s , y ) := D s , y h ( t , x ) = G ( t , x ; 0 , 0 ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) = G ( t , x ; 0 , 0 ) q s t , x ( y ) G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) , (35)
for any 0 < s < t 0<s<t 0 < s < t and x , y ∈ R x,y\in\mathbb{R} x , y ∈ R , so that
E [ R ( t , x ; s , y ) ∣ F s ] = A ( t , x ; s , y ) q s t , x ( y ) . (36) \mathbb{E}[\mathcal{R}(t,x;s,y)\mid\mathcal{F}_s]=\mathcal{A}(t,x;s,y)q_s^{t,x}(y). \tag*{(36)} E [ R ( t , x ; s , y ) ∣ F s ] = A ( t , x ; s , y ) q s t , x ( y ) . (36)
It follows that the integrand which appears in J N ′ ( t 1 , t 2 ) J_N'(t_1,t_2) J N ′ ( t 1 , t 2 ) can be written as
t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) = E [ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∣ F s ] . t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)-t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)
=
\mathbb{E}[t_2\mathcal{R}(t_2,t_2u;s,y)-t_1\mathcal{R}(t_1,t_1u;s,y)\mid\mathcal{F}_s]. t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) = E [ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∣ F s ] .
By the generalized Hölder’s inequality, an immediate consequence of (3.14) and (2.12) is:
∥ R ( t , x ; s , y ) ∥ p ≤ C p , T q s t , x ( y ) for any p ≥ 1. (37) \left\|\mathcal{R}(t,x;s,y)\right\|_p\le C_{p,T}q_s^{t,x}(y)\qquad\text{for any }p\ge1. \tag*{(37)} ∥ R ( t , x ; s , y ) ∥ p ≤ C p , T q s t , x ( y ) for any p ≥ 1. (37)
We analyze R \mathcal{R} R . By (2.13), for any 0 < s < t 0<s<t 0 < s < t and x ∈ R x\in\mathbb{R} x ∈ R ,
∫ R R ( t , x ; s , y ) d y = 1 G ( t , x ; 0 , 0 ) ∫ R G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) d y = 1. \int_{\mathbb{R}}\mathcal{R}(t,x;s,y)\,dy
=\frac{1}{\mathcal{G}(t,x;0,0)}\int_{\mathbb{R}}\mathcal{G}(t,x;s,y)\mathcal{G}(s,y;0,0)\,dy=1. ∫ R R ( t , x ; s , y ) d y = G ( t , x ; 0 , 0 ) 1 ∫ R G ( t , x ; s , y ) G ( s , y ; 0 , 0 ) d y = 1.
By (2.13), R \mathcal{R} R also satisfies a Chapman-Kolmogorov relation: for any 0 < s < r < t 0<s<r<t 0 < s < r < t and x , y ∈ R x,y\in\mathbb{R} x , y ∈ R ,
R ( t , x ; s , y ) = ∫ R R ( t , x ; r , z ) R ( r , z ; s , y ) d z . (38) \mathcal{R}(t,x;s,y)=\int_{\mathbb{R}}\mathcal{R}(t,x;r,z)\mathcal{R}(r,z;s,y)\,dz. \tag*{(38)} R ( t , x ; s , y ) = ∫ R R ( t , x ; r , z ) R ( r , z ; s , y ) d z . (38)
Consequently, for any 0 < s < t 1 < t 2 0<s<t_1<t_2 0 < s < t 1 < t 2 and x 1 , x 2 , y ∈ R x_1,x_2,y\in\mathbb{R} x 1 , x 2 , y ∈ R ,
R ( t 2 , x 2 ; s , y ) − R ( t 1 , x 1 ; s , y ) = ∫ R ( R ( t 1 , w ; s , y ) − R ( t 1 , x 1 ; s , y ) ) R ( t 2 , x 2 ; t 1 , w ) d w . (39) \mathcal{R}(t_2,x_2;s,y)-\mathcal{R}(t_1,x_1;s,y)
=\int_{\mathbb{R}}\bigl(\mathcal{R}(t_1,w;s,y)-\mathcal{R}(t_1,x_1;s,y)\bigr)\mathcal{R}(t_2,x_2;t_1,w)\,dw. \tag*{(39)} R ( t 2 , x 2 ; s , y ) − R ( t 1 , x 1 ; s , y ) = ∫ R ( R ( t 1 , w ; s , y ) − R ( t 1 , x 1 ; s , y ) ) R ( t 2 , x 2 ; t 1 , w ) d w . (39)
Note that in the integral above, the two R \mathcal{R} R ’s have the same first variable t 1 t_1 t 1 . An increment of this form is examined in the following lemma. For this lemma, we will use the following “variance comparison” property of the heat kernel:
p t ( x ) ≤ c p c t ( x ) for any c ≥ 1. (40) p_t(x)\le\sqrt{c}p_{ct}(x)\qquad\text{for any }c\ge1. \tag*{(40)} p t ( x ) ≤ c p c t ( x ) for any c ≥ 1. (40)
Note that (3.19) is a consequence of the following identity:
p t ( x ) = c e − c − 1 2 c t x 2 p c t ( x ) for any c > 0. (41) p_t(x)=\sqrt{c}e^{-\frac{c-1}{2ct}x^2}p_{ct}(x)\qquad\text{for any }c>0. \tag*{(41)} p t ( x ) = c e − 2 c t c − 1 x 2 p c t ( x ) for any c > 0. (41)
Lemma 3.5. Let p ≥ 1 p \ge1 p ≥ 1 and α ∈ ( 0 , 1 2 ) \alpha\in(0,\frac{1}{2}) α ∈ ( 0 , 2 1 ) . For any $0 < s < t \le T$ and x 1 , x 2 , y ∈ R x_1,x_2,y \in\mathbb{R} x 1 , x 2 , y ∈ R ,
∥ R ( t , x 2 ; s , y ) − R ( t , x 1 ; s , y ) ∥ p ≤ C p , α , T ( t − s ) − α 2 ∣ x 1 − x 2 ∣ α ( p 2 s ( t − s ) t ( y − s t x 1 ) + p 2 s ( t − s ) t ( y − s t x 2 ) ) . \left\|\mathcal{R}(t,x_2;s,y)-\mathcal{R}(t,x_1;s,y)\right\|_p \le C_{p,\alpha,T}(t-s)^{-\frac{\alpha}{2}}|x_1-x_2|^\alpha\left(p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_1\right)+p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_2\right)\right). ∥ R ( t , x 2 ; s , y ) − R ( t , x 1 ; s , y ) ∥ p ≤ C p , α , T ( t − s ) − 2 α ∣ x 1 − x 2 ∣ α ( p t 2 s ( t − s ) ( y − t s x 1 ) + p t 2 s ( t − s ) ( y − t s x 2 ) ) . Proof. By (3.14), R ( t , x 2 ; s , y ) − R ( t , x 1 ; s , y ) = T 1 + T 2 \mathcal{R}(t,x_2;s,y)-\mathcal{R}(t,x_1;s,y)=T_1+T_2 R ( t , x 2 ; s , y ) − R ( t , x 1 ; s , y ) = T 1 + T 2 , where
T 1 = G ‾ ( s , y ; 0 , 0 ) ( G ‾ ( t , x 2 ; s , y ) G ‾ ( t , x 2 ; 0 , 0 ) − G ‾ ( t , x 1 ; s , y ) G ‾ ( t , x 1 ; 0 , 0 ) ) q s t , x 2 ( y ) T_1=\overline{\mathcal{G}}(s,y;0,0)\left(\frac{\overline{\mathcal{G}}(t,x_2;s,y)}{\overline{\mathcal{G}}(t,x_2;0,0)}-\frac{\overline{\mathcal{G}}(t,x_1;s,y)}{\overline{\mathcal{G}}(t,x_1;0,0)}\right)q_s^{t,x_2}(y) T 1 = G ( s , y ; 0 , 0 ) ( G ( t , x 2 ; 0 , 0 ) G ( t , x 2 ; s , y ) − G ( t , x 1 ; 0 , 0 ) G ( t , x 1 ; s , y ) ) q s t , x 2 ( y ) T 2 = G ‾ ( s , y ; 0 , 0 ) G ‾ ( t , x 1 ; s , y ) G ‾ ( t , x 1 ; 0 , 0 ) ( q s t , x 2 ( y ) − q s t , x 1 ( y ) ) . T_2=\overline{\mathcal{G}}(s,y;0,0)\frac{\overline{\mathcal{G}}(t,x_1;s,y)}{\overline{\mathcal{G}}(t,x_1;0,0)}\left(q_s^{t,x_2}(y)-q_s^{t,x_1}(y)\right). T 2 = G ( s , y ; 0 , 0 ) G ( t , x 1 ; 0 , 0 ) G ( t , x 1 ; s , y ) ( q s t , x 2 ( y ) − q s t , x 1 ( y ) ) . By Cauchy–Schwarz, (2.12) and (A.3),
∥ T 1 ∥ p ≤ C p , α , T ∣ x 1 − x 2 ∣ α q s t , x 2 ( y ) . \|T_1\|_p \le C_{p,\alpha,T}|x_1-x_2|^\alpha q_s^{t,x_2}(y). ∥ T 1 ∥ p ≤ C p , α , T ∣ x 1 − x 2 ∣ α q s t , x 2 ( y ) . Using 1 ≤ T α / 2 ( t − s ) − α / 2 1 \le T^{\alpha/2}(t-s)^{-\alpha/2} 1 ≤ T α /2 ( t − s ) − α /2 and (3.19) with c = 2 c=2 c = 2 yields
∥ T 1 ∥ p ≤ C p , α , T ( t − s ) − α / 2 ∣ x 1 − x 2 ∣ α p 2 s ( t − s ) t ( y − s x 2 t ) . \|T_1\|_p \le C_{p,\alpha,T}(t-s)^{-\alpha/2}|x_1-x_2|^\alpha p_{\frac{2s(t-s)}{t}}\left(y-\frac{sx_2}{t}\right). ∥ T 1 ∥ p ≤ C p , α , T ( t − s ) − α /2 ∣ x 1 − x 2 ∣ α p t 2 s ( t − s ) ( y − t s x 2 ) . Similarly, generalized Hölder’s inequality, (2.12) and Lemma A.3 imply
∥ T 2 ∥ p ≤ C p , α , T ( t − s ) − α / 2 ∣ x 1 − x 2 ∣ α ( p 2 s ( t − s ) t ( y − s x 1 t ) + p 2 s ( t − s ) t ( y − s x 2 t ) ) . \|T_2\|_p \le C_{p,\alpha,T}(t-s)^{-\alpha/2}|x_1-x_2|^\alpha\left(p_{\frac{2s(t-s)}{t}}\left(y-\frac{sx_1}{t}\right)+p_{\frac{2s(t-s)}{t}}\left(y-\frac{sx_2}{t}\right)\right). ∥ T 2 ∥ p ≤ C p , α , T ( t − s ) − α /2 ∣ x 1 − x 2 ∣ α ( p t 2 s ( t − s ) ( y − t s x 1 ) + p t 2 s ( t − s ) ( y − t s x 2 ) ) . For 1 ≤ p < 2 1 \le p < 2 1 ≤ p < 2 , the same estimates follow by monotonicity of the moment norms from the corresponding estimates at larger moment orders. The triangle inequality proves the lemma.
The next lemma gives an estimate for the p p p -moment of the integrand in J N ′ ( t 1 , t 2 ) \mathcal{J}'_N(t_1,t_2) J N ′ ( t 1 , t 2 ) .
Lemma 3.6. Let p ≥ 1 p \ge1 p ≥ 1 and α ∈ ( 0 , 1 2 ) \alpha\in(0,\frac{1}{2}) α ∈ ( 0 , 2 1 ) . Let 0 < t 1 < t 2 ≤ T 0 < t_1 < t_2 \le T 0 < t 1 < t 2 ≤ T be such that t 2 < 2 t 1 t_2 < 2t_1 t 2 < 2 t 1 . For any 0 < s ≤ t 1 − ( t 2 − t 1 ) 0 < s \le t_1-(t_2-t_1) 0 < s ≤ t 1 − ( t 2 − t 1 ) and u , y ∈ R u,y \in\mathbb{R} u , y ∈ R ,
∥ t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) ∥ p ≤ C p , α , T ( t 2 − t 1 ) α / 2 ( t 1 − s ) − α / 2 ( p 2 s ( t 1 − s ) t 1 ( y − s u ) + p 2 s ( t 2 − s ) t 2 ( y − s u ) ) . \left\|t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)-t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\right\|_p
\le C_{p,\alpha,T}(t_2-t_1)^{\alpha/2}(t_1-s)^{-\alpha/2}\left(p_{\frac{2s(t_1-s)}{t_1}}(y-su)+p_{\frac{2s(t_2-s)}{t_2}}(y-su)\right). t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) p ≤ C p , α , T ( t 2 − t 1 ) α /2 ( t 1 − s ) − α /2 ( p t 1 2 s ( t 1 − s ) ( y − s u ) + p t 2 2 s ( t 2 − s ) ( y − s u ) ) . Proof. Let 0 < s ≤ t 1 − ( t 2 − t 1 ) 0 < s \le t_1-(t_2-t_1) 0 < s ≤ t 1 − ( t 2 − t 1 ) and u , y ∈ R u,y \in\mathbb{R} u , y ∈ R . Using (3.15) and Jensen’s inequality for conditional expectation,
∥ t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) ∥ p = ∥ E [ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∣ F s ] ∥ p ≤ ∥ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∥ p ≤ t 2 ∥ R ( t 2 , t 2 u ; s , y ) − R ( t 1 , t 1 u ; s , y ) ∥ p + ( t 2 − t 1 ) ∥ R ( t 1 , t 1 u ; s , y ) ∥ p = : A 1 + A 2 . \begin{aligned}
&\left\|t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)-t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\right\|_p \\
&=\left\|\mathbb{E}\left[t_2\mathcal{R}(t_2,t_2u;s,y)-t_1\mathcal{R}(t_1,t_1u;s,y)\mid\mathcal{F}_s\right]\right\|_p \\
&\le\left\|t_2\mathcal{R}(t_2,t_2u;s,y)-t_1\mathcal{R}(t_1,t_1u;s,y)\right\|_p \\
&\le t_2\left\|\mathcal{R}(t_2,t_2u;s,y)-\mathcal{R}(t_1,t_1u;s,y)\right\|_p+(t_2-t_1)\left\|\mathcal{R}(t_1,t_1u;s,y)\right\|_p=:A_1+A_2.
\end{aligned} t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) p = ∥ E [ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∣ F s ] ∥ p ≤ ∥ t 2 R ( t 2 , t 2 u ; s , y ) − t 1 R ( t 1 , t 1 u ; s , y ) ∥ p ≤ t 2 ∥ R ( t 2 , t 2 u ; s , y ) − R ( t 1 , t 1 u ; s , y ) ∥ p + ( t 2 − t 1 ) ∥ R ( t 1 , t 1 u ; s , y ) ∥ p =: A 1 + A 2 .
We examine A 2 A_2 A 2 first. By the choice of s s s , ( t 2 − t 1 ) 1 − α 2 ( t 1 − s ) α 2 ≤ t 1 − s ≤ T (t_2-t_1)^{1-\frac{\alpha}{2}}(t_1-s)^{\frac{\alpha}{2}}\leq t_1-s\leq T ( t 2 − t 1 ) 1 − 2 α ( t 1 − s ) 2 α ≤ t 1 − s ≤ T , and hence
t 2 − t 1 = ( t 2 − t 1 ) α 2 ( t 1 − s ) − α 2 ( t 2 − t 1 ) 1 − α 2 ( t 1 − s ) α 2 ≤ T ( t 2 − t 1 ) α 2 ( t 1 − s ) − α 2 . t_2-t_1=(t_2-t_1)^{\frac{\alpha}{2}}(t_1-s)^{-\frac{\alpha}{2}}(t_2-t_1)^{1-\frac{\alpha}{2}}(t_1-s)^{\frac{\alpha}{2}}\leq T(t_2-t_1)^{\frac{\alpha}{2}}(t_1-s)^{-\frac{\alpha}{2}}. t 2 − t 1 = ( t 2 − t 1 ) 2 α ( t 1 − s ) − 2 α ( t 2 − t 1 ) 1 − 2 α ( t 1 − s ) 2 α ≤ T ( t 2 − t 1 ) 2 α ( t 1 − s ) − 2 α .
Using (37) and (40) with c = 2 c=2 c = 2 , we see that
∥ R ( t 1 , t 1 u ; s , y ) ∥ p ≤ C p , T q s t 1 , t 1 u ( y ) = C p , T p s ( t 1 − s ) t 1 ( y − s u ) ≤ C p , T p 2 s ( t 1 − s ) t 1 ( y − s u ) . \|\mathcal{R}(t_1,t_1u;s,y)\|_p\leq C_{p,T}q_s^{t_1,t_1u}(y)=C_{p,T}p_{\frac{s(t_1-s)}{t_1}}(y-su)\leq C_{p,T}p_{\frac{2s(t_1-s)}{t_1}}(y-su). ∥ R ( t 1 , t 1 u ; s , y ) ∥ p ≤ C p , T q s t 1 , t 1 u ( y ) = C p , T p t 1 s ( t 1 − s ) ( y − s u ) ≤ C p , T p t 1 2 s ( t 1 − s ) ( y − s u ) .
Therefore,
A 2 ≤ C p , T ( t 2 − t 1 ) α 2 ( t 1 − s ) − α 2 p 2 s ( t 1 − s ) t 1 ( y − s u ) . (42) A_2\leq C_{p,T}(t_2-t_1)^{\frac{\alpha}{2}}(t_1-s)^{-\frac{\alpha}{2}}p_{\frac{2s(t_1-s)}{t_1}}(y-su). \tag*{(42)} A 2 ≤ C p , T ( t 2 − t 1 ) 2 α ( t 1 − s ) − 2 α p t 1 2 s ( t 1 − s ) ( y − s u ) . (42)
To study A 1 A_1 A 1 , we use (39) . By Minkowski’s and Cauchy-Schwarz inequality,
A 1 ≤ T ∫ R ∥ R ( t 1 , w ; s , y ) − R ( t 1 , t 1 u ; s , y ) ∥ 2 p ∥ R ( t 2 , t 2 u ; t 1 , w ) ∥ 2 p d w . A_1\leq T\int_{\mathbb{R}}\|\mathcal{R}(t_1,w;s,y)-\mathcal{R}(t_1,t_1u;s,y)\|_{2p}\|\mathcal{R}(t_2,t_2u;t_1,w)\|_{2p}\,dw. A 1 ≤ T ∫ R ∥ R ( t 1 , w ; s , y ) − R ( t 1 , t 1 u ; s , y ) ∥ 2 p ∥ R ( t 2 , t 2 u ; t 1 , w ) ∥ 2 p d w .
We bound these factors using Lemma 3.5, respectively (37) . It follows that
A 1 ≤ C p , α , T ( t 1 − s ) − α 2 ∫ R ∣ w − t 1 u ∣ α ( p 2 s ( t 1 − s ) t 1 ( y − s t 1 w ) + p 2 s ( t 1 − s ) t 1 ( y − s u ) ) × p t 1 ( t 2 − t 1 ) t 2 ( w − t 1 u ) d w = : C p , α , T ( t 1 − s ) − α 2 ( A 1 ′ + A 1 ′ ′ ) . (43) \begin{aligned}
A_1&\leq C_{p,\alpha,T}(t_1-s)^{-\frac{\alpha}{2}}\int_{\mathbb{R}}|w-t_1u|^\alpha\left(p_{\frac{2s(t_1-s)}{t_1}}\left(y-\frac{s}{t_1}w\right)+p_{\frac{2s(t_1-s)}{t_1}}(y-su)\right)\\
&\qquad\times p_{\frac{t_1(t_2-t_1)}{t_2}}(w-t_1u)\,dw\\
&=:C_{p,\alpha,T}(t_1-s)^{-\frac{\alpha}{2}}(A'_1+A''_1). \tag*{(43)}
\end{aligned} A 1 ≤ C p , α , T ( t 1 − s ) − 2 α ∫ R ∣ w − t 1 u ∣ α ( p t 1 2 s ( t 1 − s ) ( y − t 1 s w ) + p t 1 2 s ( t 1 − s ) ( y − s u ) ) × p t 2 t 1 ( t 2 − t 1 ) ( w − t 1 u ) d w =: C p , α , T ( t 1 − s ) − 2 α ( A 1 ′ + A 1 ′′ ) . (43)
We study separately A 1 ′ A'_1 A 1 ′ and A 1 ′ ′ A''_1 A 1 ′′ . We start with A 1 ′ ′ A''_1 A 1 ′′ . We have:
A 1 ′ ′ = p 2 s ( t 1 − s ) t 1 ( y − s u ) ∫ R ∣ w − t 1 u ∣ α p t 1 ( t 2 − t 1 ) t 2 ( w − t 1 u ) d w = C α p 2 s ( t 1 − s ) t 1 ( y − s u ) ( t 1 ( t 2 − t 1 ) t 2 ) α 2 , \begin{aligned}
A''_1&=p_{\frac{2s(t_1-s)}{t_1}}(y-su)\int_{\mathbb{R}}|w-t_1u|^\alpha p_{\frac{t_1(t_2-t_1)}{t_2}}(w-t_1u)\,dw\\
&=C_\alpha p_{\frac{2s(t_1-s)}{t_1}}(y-su)\left(\frac{t_1(t_2-t_1)}{t_2}\right)^{\frac{\alpha}{2}},
\end{aligned} A 1 ′′ = p t 1 2 s ( t 1 − s ) ( y − s u ) ∫ R ∣ w − t 1 u ∣ α p t 2 t 1 ( t 2 − t 1 ) ( w − t 1 u ) d w = C α p t 1 2 s ( t 1 − s ) ( y − s u ) ( t 2 t 1 ( t 2 − t 1 ) ) 2 α ,
where C α = E ∣ Z ∣ α C_\alpha=\mathbb{E}|Z|^\alpha C α = E ∣ Z ∣ α and Z ∼ N ( 0 , 1 ) Z\sim N(0,1) Z ∼ N ( 0 , 1 ) . Here we used the fact that
∫ R ∣ x ∣ α p t ( x ) d x = E ∣ X ∣ α = t α 2 E ∣ Z ∣ α , where X ∼ N ( 0 , t ) . \int_{\mathbb{R}}|x|^\alpha p_t(x)\,dx=\mathbb{E}|X|^\alpha=t^{\frac{\alpha}{2}}\mathbb{E}|Z|^\alpha,\qquad\text{where }X\sim N(0,t). ∫ R ∣ x ∣ α p t ( x ) d x = E ∣ X ∣ α = t 2 α E ∣ Z ∣ α , where X ∼ N ( 0 , t ) .
Using the fact that t 1 t 2 ≤ 1 \frac{t_1}{t_2}\leq1 t 2 t 1 ≤ 1 , it follows that
A 1 ′ ′ ≤ C α ( t 2 − t 1 ) α 2 p 2 s ( t 1 − s ) t 1 ( y − s u ) . (44) A''_1\leq C_\alpha(t_2-t_1)^{\frac{\alpha}{2}}p_{\frac{2s(t_1-s)}{t_1}}(y-su). \tag*{(44)} A 1 ′′ ≤ C α ( t 2 − t 1 ) 2 α p t 1 2 s ( t 1 − s ) ( y − s u ) . (44)
To evaluate A 1 ′ A'_1 A 1 ′ , we use the fact that for any α > 0 \alpha>0 α > 0 , t > 0 t>0 t > 0 and x ∈ R x\in\mathbb{R} x ∈ R ,
∣ x ∣ α p t ( x ) ≤ C α t α / 2 p 2 t ( x ) , |x|^\alpha p_t(x)\leq C_\alpha t^{\alpha/2}p_{2t}(x), ∣ x ∣ α p t ( x ) ≤ C α t α /2 p 2 t ( x ) ,
where C α = 2 ( 2 α e ) α / 2 C_\alpha=\sqrt{2}\left(\frac{2\alpha}{e}\right)^{\alpha/2} C α = 2 ( e 2 α ) α /2 . Indeed, we can write
∣ x ∣ α p t ( x ) = 2 t α / 2 p 2 t ( x ) ( ∣ x ∣ t ) α e − x 2 4 t ≤ 2 t α / 2 p 2 t ( x ) ⋅ K α , |x|^\alpha p_t(x)=\sqrt{2}t^{\alpha/2}p_{2t}(x)\left(\frac{|x|}{\sqrt{t}}\right)^\alpha e^{-\frac{x^2}{4t}}\leq\sqrt{2}t^{\alpha/2}p_{2t}(x)\cdot K_\alpha, ∣ x ∣ α p t ( x ) = 2 t α /2 p 2 t ( x ) ( t ∣ x ∣ ) α e − 4 t x 2 ≤ 2 t α /2 p 2 t ( x ) ⋅ K α ,
where K α : = sup y > 0 y α e − y 2 / 4 = ( 2 α e ) α / 2 K_\alpha:= \sup_{y>0} y^\alpha e^{-y^2/4} = \left(\frac{2\alpha}{e}\right)^{\alpha/2} K α := sup y > 0 y α e − y 2 /4 = ( e 2 α ) α /2 . It follows that
A 1 ′ ≤ C α ( t 1 ( t 2 − t 1 ) t 2 ) α / 2 ∫ R p 2 t 1 ( t 2 − t 1 ) t 2 ( w − t 1 u ) p 2 s ( t 1 − s ) t 1 ( y − s t 1 w ) d w . A'_1 \le C_\alpha\left(\frac{t_1(t_2-t_1)}{t_2}\right)^{\alpha/2} \int_{\mathbb{R}} p_{\frac{2t_1(t_2-t_1)}{t_2}}(w-t_1u)p_{\frac{2s(t_1-s)}{t_1}}\left(y-\frac{s}{t_1}w\right)\,dw. A 1 ′ ≤ C α ( t 2 t 1 ( t 2 − t 1 ) ) α /2 ∫ R p t 2 2 t 1 ( t 2 − t 1 ) ( w − t 1 u ) p t 1 2 s ( t 1 − s ) ( y − t 1 s w ) d w .
To evaluate the last integral, we denote
A = 2 t 1 ( t 2 − t 1 ) t 2 , B = 2 s ( t 1 − s ) t 1 , a = s t 1 . A=\frac{2t_1(t_2-t_1)}{t_2}, \qquad B=\frac{2s(t_1-s)}{t_1}, \qquad a=\frac{s}{t_1}. A = t 2 2 t 1 ( t 2 − t 1 ) , B = t 1 2 s ( t 1 − s ) , a = t 1 s .
Note also that p t ( x − a y ) = 1 a p t / a 2 ( x a − y ) p_t(x-ay)=\frac{1}{a}p_{t/a^2}\left(\frac{x}{a}-y\right) p t ( x − a y ) = a 1 p t / a 2 ( a x − y ) for any t , a > 0 t,a>0 t , a > 0 and x , y ∈ R x,y\in\mathbb{R} x , y ∈ R . Hence,
∫ R p A ( w − t 1 u ) p B ( y − a w ) d w = 1 a ∫ R p A ( x a − t 1 u ) p B ( y − x ) d x = ∫ R p a 2 A ( x − a t 1 u ) p B ( y − x ) d x = p a 2 A + B ( y − a t 1 u ) . \begin{aligned}
\int_{\mathbb{R}}p_A(w-t_1u)p_B(y-aw)\,dw=\frac{1}{a}\int_{\mathbb{R}}p_A\left(\frac{x}{a}-t_1u\right)p_B(y-x)\,dx \\
&=\int_{\mathbb{R}}p_{a^2A}(x-at_1u)p_B(y-x)\,dx=p_{a^2A+B}(y-at_1u).
\end{aligned} ∫ R p A ( w − t 1 u ) p B ( y − a w ) d w = a 1 ∫ R p A ( a x − t 1 u ) p B ( y − x ) d x = ∫ R p a 2 A ( x − a t 1 u ) p B ( y − x ) d x = p a 2 A + B ( y − a t 1 u ) .
It follows that
A 1 ′ ≤ C α ( t 2 − t 1 ) α / 2 p a 2 A + B ( y − s u ) = C α ( t 2 − t 1 ) α / 2 p 2 s ( t 2 − s ) t 2 ( y − s u ) . (45) A'_1\le C_\alpha(t_2-t_1)^{\alpha/2}p_{a^2A+B}(y-su)=C_\alpha(t_2-t_1)^{\alpha/2}p_{\frac{2s(t_2-s)}{t_2}}(y-su). \tag*{(45)} A 1 ′ ≤ C α ( t 2 − t 1 ) α /2 p a 2 A + B ( y − s u ) = C α ( t 2 − t 1 ) α /2 p t 2 2 s ( t 2 − s ) ( y − s u ) . (45)
since
a 2 A + B = 2 s 2 ( t 2 − t 1 ) t 1 t 2 + 2 s ( t 1 − s ) t 1 = 2 s ( t 2 − s ) t 2 . a^2A+B=\frac{2s^2(t_2-t_1)}{t_1t_2}+\frac{2s(t_1-s)}{t_1}=\frac{2s(t_2-s)}{t_2}. a 2 A + B = t 1 t 2 2 s 2 ( t 2 − t 1 ) + t 1 2 s ( t 1 − s ) = t 2 2 s ( t 2 − s ) .
The conclusion follows from (42) , (43) , (44) and (45) .
Proposition 3.7. Let p ≥ 2 p\ge2 p ≥ 2 , α ∈ ( 0 , 1 2 ) \alpha\in(0,\frac{1}{2}) α ∈ ( 0 , 2 1 ) and N ≥ 2 N\ge2 N ≥ 2 . For any 0 < ε ≤ t 1 < t 2 ≤ T 0<\varepsilon\le t_1<t_2\le T 0 < ε ≤ t 1 < t 2 ≤ T such that t 2 − t 1 ≤ ε 2 t_2-t_1\le\frac{\varepsilon}{2} t 2 − t 1 ≤ 2 ε ,
E ∣ J N ′ ( t 1 , t 2 ) ∣ p ≤ C p , α , ε , T ( t 2 − t 1 ) α p / 2 . \mathbb{E}|J'_N(t_1,t_2)|^p\le C_{p,\alpha,\varepsilon,T}(t_2-t_1)^{\alpha p/2}. E ∣ J N ′ ( t 1 , t 2 ) ∣ p ≤ C p , α , ε , T ( t 2 − t 1 ) α p /2 .
Proof. As in the proof of Proposition 3.2 , by (12) and Minkowski’s inequality,
∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ z p 2 N log N ∫ 0 t 1 ∫ R ( ∫ 0 N / t 2 ∥ t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) ∥ p d u ) 2 d y d s . \|J'_N(t_1,t_2)\|_p^2\le\frac{z_p^2}{N\log N}\int_0^{t_1}\int_{\mathbb{R}}\left(\int_0^{N/t_2}\left\|t_2\mathcal{A}(t_2,t_2u;s,y)q_s^{t_2,t_2u}(y)-t_1\mathcal{A}(t_1,t_1u;s,y)q_s^{t_1,t_1u}(y)\right\|_p\,du\right)^2dy\,ds. ∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ N log N z p 2 ∫ 0 t 1 ∫ R ( ∫ 0 N / t 2 t 2 A ( t 2 , t 2 u ; s , y ) q s t 2 , t 2 u ( y ) − t 1 A ( t 1 , t 1 u ; s , y ) q s t 1 , t 1 u ( y ) p d u ) 2 d y d s .
We write the integral on [ 0 , t 1 ] [0,t_1] [ 0 , t 1 ] as the sum of integrals on [ 0 , t 1 − ( t 2 − t 1 ) ] [0,t_1-(t_2-t_1)] [ 0 , t 1 − ( t 2 − t 1 )] and [ t 1 − ( t 2 − t 1 ) , t 1 ] [t_1-(t_2-t_1),t_1] [ t 1 − ( t 2 − t 1 ) , t 1 ] , and we denote the two terms by T 1 T_1 T 1 and T 2 T_2 T 2 , so that
∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ z p 2 ( T 1 + T 2 ) . \|J'_N(t_1,t_2)\|_p^2\le z_p^2(T_1+T_2). ∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ z p 2 ( T 1 + T 2 ) .
We examine T 1 T_1 T 1 . Note that t 2 ≤ t 1 + ε 2 < 2 t 1 t_2\le t_1+\frac{\varepsilon}{2}<2t_1 t 2 ≤ t 1 + 2 ε < 2 t 1 . Hence, we can apply Lemma 3.6 choosing α ∈ ( 0 , 1 2 ) \alpha\in(0,\frac{1}{2}) α ∈ ( 0 , 2 1 ) . Using the inequality ( a + b ) 2 ≤ 2 ( a 2 + b 2 ) (a+b)^2\le2(a^2+b^2) ( a + b ) 2 ≤ 2 ( a 2 + b 2 ) , it follows that
T 1 ≤ C p , α , ε , T ( t 2 − t 1 ) α N log N { ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ∫ R [ ∫ 0 N / t 2 p 2 s ( t 1 − s ) t 1 ( y − s u ) d u ] 2 d y d s T_1\le C_{p,\alpha,\varepsilon,T}\frac{(t_2-t_1)^\alpha}{N\log N}\left\{\int_0^{t_1-(t_2-t_1)}(t_1-s)^{-\alpha}\int_{\mathbb{R}}\left[\int_0^{N/t_2}p_{\frac{2s(t_1-s)}{t_1}}(y-su)\,du\right]^2dy\,ds
\right. T 1 ≤ C p , α , ε , T N log N ( t 2 − t 1 ) α ⎩ ⎨ ⎧ ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ∫ R [ ∫ 0 N / t 2 p t 1 2 s ( t 1 − s ) ( y − s u ) d u ] 2 d y d s
+ ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ∫ R [ ∫ 0 N / t 2 p 2 s ( t 2 − s ) t 2 ( y − s u ) d u ] 2 d y d s } ≤ C p , α , ε , T ( t 2 − t 1 ) α N log N ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ( N s ∧ N 2 s ) d s . \begin{aligned}
\left.
+\int_0^{t_1-(t_2-t_1)}(t_1-s)^{-\alpha}\int_{\mathbb{R}}\left[\int_0^{N/t_2}p_{\frac{2s(t_2-s)}{t_2}}(y-su)\,du\right]^2dy\,ds\right\} \\
&\le C_{p,\alpha,\varepsilon,T}\frac{(t_2-t_1)^\alpha}{N\log N}\int_0^{t_1-(t_2-t_1)}(t_1-s)^{-\alpha}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right)\,ds.
\end{aligned} + ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ∫ R [ ∫ 0 N / t 2 p t 2 2 s ( t 2 − s ) ( y − s u ) d u ] 2 d y d s ⎭ ⎬ ⎫ ≤ C p , α , ε , T N log N ( t 2 − t 1 ) α ∫ 0 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α ( s N ∧ s N 2 ) d s .
For the last line, positivity permits enlargement of the first spatial integration interval from [ 0 , N / t 2 ] [0,N/t_2] [ 0 , N / t 2 ] to [ 0 , N / t 1 ] [0,N/t_1] [ 0 , N / t 1 ] ; then Lemma A.4 applies to both kernels.
Note that t 1 − ( t 2 − t 1 ) ≥ ε 2 t_1-(t_2-t_1)\ge\frac{\varepsilon}{2} t 1 − ( t 2 − t 1 ) ≥ 2 ε . We split the integral above as the sum of two integrals on [ 0 , ε 2 ] [0,\frac{\varepsilon}{2}] [ 0 , 2 ε ] and [ ε 2 , t 1 − ( t 2 − t 1 ) ] [\frac{\varepsilon}{2},t_1-(t_2-t_1)] [ 2 ε , t 1 − ( t 2 − t 1 )] . (The second interval may be empty.) We denote these two integrals by A A A and B B B , respectively. On the first interval, t 1 − s ≥ ε / 2 t_1-s\ge\varepsilon/2 t 1 − s ≥ ε /2 . Hence,
A ≤ ( ε 2 ) − α ( ∫ 0 min { ε / 2 , N − 2 } N 2 s d s + 1 { ε / 2 > N − 2 } ∫ N − 2 ε / 2 N s d s ) ≤ ( ε 2 ) − α ( 2 N + 1 { ε / 2 > N − 2 } N log ε N 2 2 ) ≤ C α , ε N log N . \begin{aligned}
A\le\left(\frac{\varepsilon}{2}\right)^{-\alpha}\left(\int_0^{\min\{\varepsilon/2,N^{-2}\}}\frac{N^2}{\sqrt{s}}\,\mathrm{d}s+\mathbf{1}_{\{\varepsilon/2>N^{-2}\}}\int_{N^{-2}}^{\varepsilon/2}\frac{N}{s}\,\mathrm{d}s\right) \\
&\le\left(\frac{\varepsilon}{2}\right)^{-\alpha}\left(2N+\mathbf{1}_{\{\varepsilon/2>N^{-2}\}}N\log\frac{\varepsilon N^2}{2}\right)\le C_{\alpha,\varepsilon}N\log N.
\end{aligned} A ≤ ( 2 ε ) − α ( ∫ 0 m i n { ε /2 , N − 2 } s N 2 d s + 1 { ε /2 > N − 2 } ∫ N − 2 ε /2 s N d s ) ≤ ( 2 ε ) − α ( 2 N + 1 { ε /2 > N − 2 } N log 2 ε N 2 ) ≤ C α , ε N log N .
B ≤ ∫ ε / 2 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α N s d s ≤ 2 N ε ∫ ε / 2 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α d s ≤ 2 N ε t 1 1 − α 1 − α ≤ C α , ε , T N . B\le\int_{\varepsilon/2}^{t_1-(t_2-t_1)}(t_1-s)^{-\alpha}\frac{N}{s}\,\mathrm{d}s\le\frac{2N}{\varepsilon}\int_{\varepsilon/2}^{t_1-(t_2-t_1)}(t_1-s)^{-\alpha}\,\mathrm{d}s\le\frac{2N}{\varepsilon}\frac{t_1^{1-\alpha}}{1-\alpha}\le C_{\alpha,\varepsilon,T}N. B ≤ ∫ ε /2 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α s N d s ≤ ε 2 N ∫ ε /2 t 1 − ( t 2 − t 1 ) ( t 1 − s ) − α d s ≤ ε 2 N 1 − α t 1 1 − α ≤ C α , ε , T N .
Therefore,
T 1 ≤ C p , α , ε , T ( t 2 − t 1 ) α . T_1\le C_{p,\alpha,\varepsilon,T}(t_2-t_1)^\alpha. T 1 ≤ C p , α , ε , T ( t 2 − t 1 ) α .
For T 2 T_2 T 2 , we use the inequality ∥ X + Y ∥ p ≤ ∥ X ∥ p + ∥ Y ∥ p \lVert X+Y\rVert_p\le\lVert X\rVert_p+\lVert Y\rVert_p ∥ X + Y ∥ p ≤ ∥ X ∥ p + ∥ Y ∥ p followed by Lemma 3.1:
T 2 ≤ C p , T N log N ∑ i = 1 2 ∫ t 1 − ( t 2 − t 1 ) t 1 ∫ R ( ∫ 0 N / t 2 q s t i , t i ( y ) d u ) 2 d y d s . T_2\le\frac{C_{p,T}}{N\log N}\sum_{i=1}^{2}\int_{t_1-(t_2-t_1)}^{t_1}\int_{\mathbb{R}}\left(\int_0^{N/t_2}q_s^{t_i,t_i} (y)\,\mathrm{d}u\right)^2\mathrm{d}y\,\mathrm{d}s. T 2 ≤ N log N C p , T i = 1 ∑ 2 ∫ t 1 − ( t 2 − t 1 ) t 1 ∫ R ( ∫ 0 N / t 2 q s t i , t i ( y ) d u ) 2 d y d s .
We now use again Lemma A.4 with c = 1 c=1 c = 1 . We obtain:
T 2 ≤ C p , ε , T N log N ∫ t 1 − ( t 2 − t 1 ) t 1 ( N s ∧ N 2 s ) d s ≤ C p , ε , T log N ∫ t 1 − ( t 2 − t 1 ) t 1 1 s d s ≤ C p , ε , T log N 2 ε ( t 2 − t 1 ) ≤ C p , ε , T ( t 2 − t 1 ) . \begin{aligned}
T_2\le\frac{C_{p,\varepsilon,T}}{N\log N}\int_{t_1-(t_2-t_1)}^{t_1}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right)\,\mathrm{d}s \\
&\le\frac{C_{p,\varepsilon,T}}{\log N}\int_{t_1-(t_2-t_1)}^{t_1}\frac{1}{s}\,\mathrm{d}s\le\frac{C_{p,\varepsilon,T}}{\log N}\frac{2}{\varepsilon}(t_2-t_1)\le C_{p,\varepsilon,T}(t_2-t_1).
\end{aligned} T 2 ≤ N log N C p , ε , T ∫ t 1 − ( t 2 − t 1 ) t 1 ( s N ∧ s N 2 ) d s ≤ log N C p , ε , T ∫ t 1 − ( t 2 − t 1 ) t 1 s 1 d s ≤ log N C p , ε , T ε 2 ( t 2 − t 1 ) ≤ C p , ε , T ( t 2 − t 1 ) .
For the last line, we used the fact that s ≥ t 1 − ( t 2 − t 1 ) ≥ ε − ε 2 = ε 2 s\ge t_1-(t_2-t_1)\ge\varepsilon-\frac{\varepsilon}{2}=\frac{\varepsilon}{2} s ≥ t 1 − ( t 2 − t 1 ) ≥ ε − 2 ε = 2 ε . Combining the estimates for T 1 T_1 T 1 and T 2 T_2 T 2 , we obtain
∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , α , ε , T ( ( t 2 − t 1 ) α + ( t 2 − t 1 ) ) ≤ C p , α , ε , T ( t 2 − t 1 ) α . \lVert J_N'(t_1,t_2)\rVert_p^2\le C_{p,\alpha,\varepsilon,T}\left((t_2-t_1)^\alpha+(t_2-t_1)\right)\le C_{p,\alpha,\varepsilon,T}(t_2-t_1)^\alpha. ∥ J N ′ ( t 1 , t 2 ) ∥ p 2 ≤ C p , α , ε , T ( ( t 2 − t 1 ) α + ( t 2 − t 1 ) ) ≤ C p , α , ε , T ( t 2 − t 1 ) α .
Indeed, t 2 − t 1 ≤ T t_2-t_1\le T t 2 − t 1 ≤ T and 0 < α < 1 0<\alpha<1 0 < α < 1 , so t 2 − t 1 ≤ T 1 − α ( t 2 − t 1 ) α t_2-t_1\le T^{1-\alpha}(t_2-t_1)^\alpha t 2 − t 1 ≤ T 1 − α ( t 2 − t 1 ) α . Raising this bound to the power p / 2 p/2 p /2 proves the proposition.
Proof of Theorem 1.1. As mentioned at the beginning of the proof of Section 3, it is enough to prove that (3.1) holds. This follows from decompositions (3.5) and (3.12), using: a) Proposition 3.2 for the term I N ( t 1 , t 2 ) I_N(t_1,t_2) I N ( t 1 , t 2 ) ; b) Proposition 3.3 for the term J N ( t 1 , t 2 ) J_N(t_1,t_2) J N ( t 1 , t 2 ) when t 2 − t 1 > ε / 2 t_2-t_1>\varepsilon/2 t 2 − t 1 > ε /2 ; c) Proposition 3.4 for the term J N ′ ′ ( t 1 , t 2 ) J_N''(t_1,t_2) J N ′′ ( t 1 , t 2 ) (the restriction t 2 − t 1 ≤ ε / 2 t_2-t_1\le\varepsilon/2 t 2 − t 1 ≤ ε /2 is not needed); d) Proposition 3.7 for the term J N ′ ( t 1 , t 2 ) J_N'(t_1,t_2) J N ′ ( t 1 , t 2 ) when t 2 − t 1 ≤ ε / 2 t_2-t_1\le\varepsilon/2 t 2 − t 1 ≤ ε /2 . Most of the effort is dedicated to d), which is based on Lemma 3.6, which in turn uses Lemma 3.5.
Acknowledgements
R. M. B. was supported by a grant from the Natural Sciences and Engineering Research Council of Canada. L. C. was partially supported by NSF grant DMS-2443823 and a Collaboration Grant for Mathematicians (#959981) from the Simons Foundation. J. W. was partially supported by a Mitacs Globalink Research Award Abroad (IT52612), which funded his visit to Auburn University.
Auxiliary results
Properties of p t ( x ) p_t(x) p t ( x ) and q s t , x ( y ) q_s^{t,x}(y) q s t , x ( y )
In this section, we include some auxiliary results about the increments of p p p and q q q .
Lemma A.1. Let α ∈ ( 0 , 1 ] \alpha\in(0,1] α ∈ ( 0 , 1 ] be arbitrary. For any t > 0 t>0 t > 0 and x , y ∈ R x,y \in\mathbb{R} x , y ∈ R ,
∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z ≤ 4 − α π t − 1 2 − α ∣ x − y ∣ 2 α . \int_{\mathbb{R}} \lvert p_t(x-z)-p_t(y-z)\rvert^2 \,\mathrm{d}z \le\frac{4^{-\alpha}}{\sqrt{\pi}}t^{-\frac{1}{2}-\alpha}\lvert x-y\rvert^{2\alpha}. ∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z ≤ π 4 − α t − 2 1 − α ∣ x − y ∣ 2 α . Proof. By the semigroup property of the heat kernel, we obtain
∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z = 2 p 2 t ( 0 ) − 2 p 2 t ( x − y ) = 1 π t ( 1 − exp ( − ∣ x − y ∣ 2 4 t ) ) . \int_{\mathbb{R}} \lvert p_t(x-z)-p_t(y-z)\rvert^2 \,\mathrm{d}z = 2p_{2t}(0)-2p_{2t}(x-y) = \frac{1}{\sqrt{\pi t}}\left(1-\exp\left(-\frac{\lvert x-y\rvert^2}{4t}\right)\right). ∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z = 2 p 2 t ( 0 ) − 2 p 2 t ( x − y ) = π t 1 ( 1 − exp ( − 4 t ∣ x − y ∣ 2 ) ) . For any r ≥ 0 r\ge0 r ≥ 0 and α ∈ ( 0 , 1 ] \alpha\in(0,1] α ∈ ( 0 , 1 ] , we have 1 − e − r ≤ 1 ∧ r ≤ r α 1-e^{-r}\le1\wedge r\le r^\alpha 1 − e − r ≤ 1 ∧ r ≤ r α . Therefore,
∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z ≤ 1 π t ( ∣ x − y ∣ 2 4 t ) α = 4 − α π t − 1 2 − α ∣ x − y ∣ 2 α . \int_{\mathbb{R}} \lvert p_t(x-z)-p_t(y-z)\rvert^2 \,\mathrm{d}z \le\frac{1}{\sqrt{\pi t}}\left(\frac{\lvert x-y\rvert^2}{4t}\right)^\alpha= \frac{4^{-\alpha}}{\sqrt{\pi}}t^{-\frac{1}{2}-\alpha}\lvert x-y\rvert^{2\alpha}. ∫ R ∣ p t ( x − z ) − p t ( y − z ) ∣ 2 d z ≤ π t 1 ( 4 t ∣ x − y ∣ 2 ) α = π 4 − α t − 2 1 − α ∣ x − y ∣ 2 α .
Lemma A.2. Let α ∈ ( 0 , 1 ] \alpha\in(0,1] α ∈ ( 0 , 1 ] . For any t > 0 t>0 t > 0 and x , y , z ∈ R x,y,z \in\mathbb{R} x , y , z ∈ R ,
∣ p t ( x − z ) − p t ( y − z ) ∣ ≤ C α t − α 2 ∣ x − y ∣ α ( p 2 t ( x − z ) + p 2 t ( y − z ) ) . \lvert p_t(x-z)-p_t(y-z)\rvert\le C_\alpha t^{-\frac{\alpha}{2}}\lvert x-y\rvert^\alpha\left(p_{2t}(x-z)+p_{2t}(y-z)\right). ∣ p t ( x − z ) − p t ( y − z )∣ ≤ C α t − 2 α ∣ x − y ∣ α ( p 2 t ( x − z ) + p 2 t ( y − z ) ) . Proof. We refer to the proof of Lemma 3.1 of [10 ] .
Recall definition (3.3) of q q q . The next result gives an estimate for the increments of q q q .
Lemma A.3. Let α ∈ ( 0 , 1 ] \alpha\in(0,1] α ∈ ( 0 , 1 ] . For any 0 < s < t 0<s<t 0 < s < t and x 1 , x 2 , y ∈ R x_1,x_2,y \in\mathbb{R} x 1 , x 2 , y ∈ R ,
∣ q s t , x 2 ( y ) − q s t , x 1 ( y ) ∣ ≤ C α ( t − s ) − α 2 ∣ x 1 − x 2 ∣ α ( p 2 s ( t − s ) t ( y − s t x 1 ) + p 2 s ( t − s ) t ( y − s t x 2 ) ) . \lvert q_s^{t,x_2}(y)-q_s^{t,x_1}(y)\rvert\le C_\alpha(t-s)^{-\frac{\alpha}{2}}\lvert x_1-x_2\rvert^\alpha\left(p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_1\right)+p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_2\right)\right). ∣ q s t , x 2 ( y ) − q s t , x 1 ( y )∣ ≤ C α ( t − s ) − 2 α ∣ x 1 − x 2 ∣ α ( p t 2 s ( t − s ) ( y − t s x 1 ) + p t 2 s ( t − s ) ( y − t s x 2 ) ) . Proof. We apply Lemma A.2. It follows that
∣ q s t , x 2 ( y ) − q s t , x 1 ( y ) ∣ = ∣ p s ( t − s ) t ( y − s t x 1 ) − p s ( t − s ) t ( y − s t x 2 ) ∣ ≤ C α ( s ( t − s ) t ) − α 2 ( s t ∣ x 1 − x 2 ∣ ) α ( p 2 s ( t − s ) t ( y − s t x 1 ) + p 2 s ( t − s ) t ( y − s t x 2 ) ) . \begin{aligned}
\lvert q_s^{t,x_2}(y)-q_s^{t,x_1}(y)\rvert
&=\left\lvert p_{\frac{s(t-s)}{t}}\left(y-\frac{s}{t}x_1\right)-p_{\frac{s(t-s)}{t}}\left(y-\frac{s}{t}x_2\right)\right\rvert\\
&\le C_\alpha\left(\frac{s(t-s)}{t}\right)^{-\frac{\alpha}{2}}\left(\frac{s}{t}\lvert x_1-x_2\rvert\right)^\alpha\left(p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_1\right)+p_{\frac{2s(t-s)}{t}}\left(y-\frac{s}{t}x_2\right)\right).
\end{aligned} ∣ q s t , x 2 ( y ) − q s t , x 1 ( y )∣ = p t s ( t − s ) ( y − t s x 1 ) − p t s ( t − s ) ( y − t s x 2 ) ≤ C α ( t s ( t − s ) ) − 2 α ( t s ∣ x 1 − x 2 ∣ ) α ( p t 2 s ( t − s ) ( y − t s x 1 ) + p t 2 s ( t − s ) ( y − t s x 2 ) ) .
The conclusion follows since
( s ( t − s ) t ) − α 2 ( s t ) α = ( s t ) α 2 ( t − s ) − α 2 ≤ ( t − s ) − α 2 . \left(\frac{s(t-s)}{t}\right)^{-\frac{\alpha}{2}}\left(\frac{s}{t}\right)^\alpha=\left(\frac{s}{t}\right)^{\frac{\alpha}{2}}(t-s)^{-\frac{\alpha}{2}}\le(t-s)^{-\frac{\alpha}{2}}. ( t s ( t − s ) ) − 2 α ( t s ) α = ( t s ) 2 α ( t − s ) − 2 α ≤ ( t − s ) − 2 α .
Lemma A.4. Let c > 0 c>0 c > 0 and N ≥ 1 N\ge1 N ≥ 1 . For any 0 < ε ≤ t 1 < t 2 ≤ T 0<\varepsilon\le t_1<t_2\le T 0 < ε ≤ t 1 < t 2 ≤ T and s ∈ ( 0 , t 1 ) s\in(0,t_1) s ∈ ( 0 , t 1 ) ,
∫ R ( ∫ 0 N / t i p c s ( t i − s ) t i ( y − s u ) d u ) 2 d y ≤ C c , ε , T ( N s ∧ N 2 s ) , for i = 1 , 2. \int_{\mathbb{R}}\left(\int_0^{N/t_i}p_{\frac{cs(t_i-s)}{t_i}}(y-su)\,du\right)^2dy\le C_{c,\varepsilon,T}\left(\frac{N}{s}\wedge\frac{N^2}{\sqrt{s}}\right),\qquad\text{for }i=1,2. ∫ R ( ∫ 0 N / t i p t i cs ( t i − s ) ( y − s u ) d u ) 2 d y ≤ C c , ε , T ( s N ∧ s N 2 ) , for i = 1 , 2. Proof. We denote the integral on the left side by I I I . Using the semigroup property, for i = 1 , 2 i=1,2 i = 1 , 2 ,
I = ∫ 0 N / t i ∫ 0 N / t i p 2 c s ( t i − s ) t i ( s ( u − v ) ) d u d v ≤ ∫ 0 N / t i ∫ R p 2 c s ( t i − s ) t i ( s ( u − v ) ) d v d u = N t i s ≤ N ε s . (46) I=\int_0^{N/t_i}\int_0^{N/t_i}p_{\frac{2cs(t_i-s)}{t_i}}\bigl(s(u-v)\bigr)\,du\,dv\le\int_0^{N/t_i}\int_{\mathbb{R}}p_{\frac{2cs(t_i-s)}{t_i}}\bigl(s(u-v)\bigr)\,dv\,du=\frac{N}{t_i s}\le\frac{N}{\varepsilon s}. \tag*{(46)} I = ∫ 0 N / t i ∫ 0 N / t i p t i 2 cs ( t i − s ) ( s ( u − v ) ) d u d v ≤ ∫ 0 N / t i ∫ R p t i 2 cs ( t i − s ) ( s ( u − v ) ) d v d u = t i s N ≤ ε s N . (46) This gives the first bound. To obtain the second bound, suppose first that s ∈ ( 0 , ε 2 ) s\in(0,\frac{\varepsilon}{2}) s ∈ ( 0 , 2 ε ) . Then t 2 − s > t 1 − s > t 1 − ε 2 ≥ ε 2 t_2-s>t_1-s>t_1-\frac{\varepsilon}{2}\ge\frac{\varepsilon}{2} t 2 − s > t 1 − s > t 1 − 2 ε ≥ 2 ε . Bounding the integrand by its maximum, we have:
p 2 c s ( t i − s ) t i ( s ( u − v ) ) ≤ p 2 c s ( t i − s ) t i ( 0 ) = 1 4 π c t i s ( t i − s ) ≤ 1 4 π c T ε / 2 ⋅ 1 s , p_{\frac{2cs(t_i-s)}{t_i}}\bigl(s(u-v)\bigr)\le p_{\frac{2cs(t_i-s)}{t_i}}(0)=\frac{1}{\sqrt{4\pi c}}\sqrt{\frac{t_i}{s(t_i-s)}}\le\frac{1}{\sqrt{4\pi c}}\sqrt{\frac{T}{\varepsilon/2}}\cdot\frac{1}{\sqrt{s}}, p t i 2 cs ( t i − s ) ( s ( u − v ) ) ≤ p t i 2 cs ( t i − s ) ( 0 ) = 4 π c 1 s ( t i − s ) t i ≤ 4 π c 1 ε /2 T ⋅ s 1 , and
I ≤ ( N t i ) 2 1 4 π c T ε / 2 ⋅ 1 s ≤ ( N ε ) 2 1 4 π c T ε / 2 ⋅ 1 s . I\le\left(\frac{N}{t_i}\right)^2\frac{1}{\sqrt{4\pi c}}\sqrt{\frac{T}{\varepsilon/2}}\cdot\frac{1}{\sqrt{s}}\le\left(\frac{N}{\varepsilon}\right)^2\frac{1}{\sqrt{4\pi c}}\sqrt{\frac{T}{\varepsilon/2}}\cdot\frac{1}{\sqrt{s}}. I ≤ ( t i N ) 2 4 π c 1 ε /2 T ⋅ s 1 ≤ ( ε N ) 2 4 π c 1 ε /2 T ⋅ s 1 . If s ∈ [ ε 2 , t 1 ) s\in[\frac{\varepsilon}{2},t_1) s ∈ [ 2 ε , t 1 ) , then 1 s ≤ 2 ε 1 s \frac{1}{s}\le\sqrt{\frac{2}{\varepsilon}}\frac{1}{\sqrt{s}} s 1 ≤ ε 2 s 1 , and using (A.1), we get:
I ≤ N ε s ≤ N 2 ε s ≤ N 2 ε 2 ε 1 s . I\le\frac{N}{\varepsilon s}\le\frac{N^2}{\varepsilon s}\le\frac{N^2}{\varepsilon}\sqrt{\frac{2}{\varepsilon}}\frac{1}{\sqrt{s}}. I ≤ ε s N ≤ ε s N 2 ≤ ε N 2 ε 2 s 1 .
Increments of normalized G
In this section, we present a lemma about the increments of G ˉ \bar{G} G ˉ .
Lemma A.5. Let p ≥ 2 p\ge2 p ≥ 2 and α ∈ ( 0 , 1 2 ) \alpha\in(0,\frac{1}{2}) α ∈ ( 0 , 2 1 ) . For any 0 ≤ s < t ≤ T 0\le s<t\le T 0 ≤ s < t ≤ T and x 1 , x 2 , y ∈ R x_1,x_2,y\in\mathbb{R} x 1 , x 2 , y ∈ R ,
∥ G ˉ ( t , x 2 ; s , y ) − G ˉ ( t , x 1 ; s , y ) ∥ p ≤ C p , T 2 − α π 1 / 4 cos ( π α ) ( t − s ) 1 4 − α 2 ∣ x 1 − x 2 ∣ α , (47) \left\|\bar{G}(t,x_2;s,y)-\bar{G}(t,x_1;s,y)\right\|_p\le C_{p,T}\frac{2^{-\alpha}\pi^{1/4}}{\sqrt{\cos(\pi\alpha)}}(t-s)^{\frac{1}{4}-\frac{\alpha}{2}}|x_1-x_2|^\alpha, \tag*{(47)} G ˉ ( t , x 2 ; s , y ) − G ˉ ( t , x 1 ; s , y ) p ≤ C p , T cos ( π α ) 2 − α π 1/4 ( t − s ) 4 1 − 2 α ∣ x 1 − x 2 ∣ α , (47) and consequently,
∥ G ˉ ( t , x 2 ; s , y ) G ˉ ( t , x 2 ; 0 , 0 ) − G ˉ ( t , x 1 ; s , y ) G ˉ ( t , x 1 ; 0 , 0 ) ∥ p ≤ C α , p , T ∣ x 1 − x 2 ∣ α . (48) \left\|\frac{\bar{G}(t,x_2;s,y)}{\bar{G}(t,x_2;0,0)}-\frac{\bar{G}(t,x_1;s,y)}{\bar{G}(t,x_1;0,0)}\right\|_p\le C_{\alpha,p,T}|x_1-x_2|^\alpha. \tag*{(48)} G ˉ ( t , x 2 ; 0 , 0 ) G ˉ ( t , x 2 ; s , y ) − G ˉ ( t , x 1 ; 0 , 0 ) G ˉ ( t , x 1 ; s , y ) p ≤ C α , p , T ∣ x 1 − x 2 ∣ α . (48)
Proof. We first prove (A.2). Dividing (17) by p t − s ( x − y ) p_{t-s}(x-y) p t − s ( x − y ) , and using (24) , we obtain:
G ‾ ( t , x ; s , y ) = 1 + ∫ s t ∫ R p t − r ( x − z ) p r − s ( z − y ) p t − s ( x − y ) G ‾ ( r , z ; s , y ) ξ ( d r , d z ) = 1 + ∫ s t ∫ R q t − s , x − y r − s ( z − y ) G ‾ ( r , z ; s , y ) ξ ( d r , d z ) . \begin{aligned}
\overline{G}(t,x;s,y)=1+\int_s^t\int_{\mathbb{R}}\frac{p_{t-r}(x-z)p_{r-s}(z-y)}{p_{t-s}(x-y)}\overline{G}(r,z;s,y)\xi(\mathrm{d}r,\mathrm{d}z) \\
&=1+\int_s^t\int_{\mathbb{R}}q_{\frac{t-s,x-y}{r-s}}(z-y)\overline{G}(r,z;s,y)\xi(\mathrm{d}r,\mathrm{d}z).
\end{aligned} G ( t , x ; s , y ) = 1 + ∫ s t ∫ R p t − s ( x − y ) p t − r ( x − z ) p r − s ( z − y ) G ( r , z ; s , y ) ξ ( d r , d z ) = 1 + ∫ s t ∫ R q r − s t − s , x − y ( z − y ) G ( r , z ; s , y ) ξ ( d r , d z ) .
By inequality (12) , relation (20) , and Lemma A.1 ,
∥ G ‾ ( t , x 2 ; s , y ) − G ‾ ( t , x 1 ; s , y ) ∥ p 2 ≤ C p , T ∫ s t ∫ R ∣ q t − s , x 2 − y r − s ( z − y ) − q t − s , x 1 − y r − s ( z − y ) ∣ 2 d z d r ≤ C p , T 4 1 − α π ∣ x 1 − x 2 ∣ 2 α ∫ s t ( r − s t − s ) 2 α ( ( r − s ) ( t − r ) t − s ) − 1 2 − α d r = C p , T 4 1 − α π ∣ x 1 − x 2 ∣ 2 α ( t − s ) 1 2 − α ∫ s t ( r − s ) α − 1 2 ( t − r ) − α − 1 2 d r = C p , T 4 1 − α π Γ ( α + 1 2 ) Γ ( 1 2 − α ) ∣ x 1 − x 2 ∣ 2 α ( t − s ) 1 2 − α = C p , T 4 1 − α π cos ( π α ) ∣ x 1 − x 2 ∣ 2 α ( t − s ) 1 2 − α . \begin{aligned}
\left\|\overline{G}(t,x_2;s,y)-\overline{G}(t,x_1;s,y)\right\|_p^2
\le C_{p,T}\int_s^t\int_{\mathbb{R}}\left|q_{\frac{t-s,x_2-y}{r-s}}(z-y)-q_{\frac{t-s,x_1-y}{r-s}}(z-y)\right|^2\mathrm{d}z\mathrm{d}r \\
&\le C_{p,T}\frac{4^{1-\alpha}}{\sqrt{\pi}}|x_1-x_2|^{2\alpha}\int_s^t\left(\frac{r-s}{t-s}\right)^{2\alpha}\left(\frac{(r-s)(t-r)}{t-s}\right)^{-\frac{1}{2}-\alpha}\mathrm{d}r \\
&=C_{p,T}\frac{4^{1-\alpha}}{\sqrt{\pi}}|x_1-x_2|^{2\alpha}(t-s)^{\frac{1}{2}-\alpha}\int_s^t(r-s)^{\alpha-\frac{1}{2}}(t-r)^{-\alpha-\frac{1}{2}}\mathrm{d}r \\
&=C_{p,T}\frac{4^{1-\alpha}}{\sqrt{\pi}}\Gamma\left(\alpha+\frac{1}{2}\right)\Gamma\left(\frac{1}{2}-\alpha\right)|x_1-x_2|^{2\alpha}(t-s)^{\frac{1}{2}-\alpha} \\
&=C_{p,T}\frac{4^{1-\alpha}\sqrt{\pi}}{\cos(\pi\alpha)}|x_1-x_2|^{2\alpha}(t-s)^{\frac{1}{2}-\alpha}.
\end{aligned} G ( t , x 2 ; s , y ) − G ( t , x 1 ; s , y ) p 2 ≤ C p , T ∫ s t ∫ R q r − s t − s , x 2 − y ( z − y ) − q r − s t − s , x 1 − y ( z − y ) 2 d z d r ≤ C p , T π 4 1 − α ∣ x 1 − x 2 ∣ 2 α ∫ s t ( t − s r − s ) 2 α ( t − s ( r − s ) ( t − r ) ) − 2 1 − α d r = C p , T π 4 1 − α ∣ x 1 − x 2 ∣ 2 α ( t − s ) 2 1 − α ∫ s t ( r − s ) α − 2 1 ( t − r ) − α − 2 1 d r = C p , T π 4 1 − α Γ ( α + 2 1 ) Γ ( 2 1 − α ) ∣ x 1 − x 2 ∣ 2 α ( t − s ) 2 1 − α = C p , T cos ( π α ) 4 1 − α π ∣ x 1 − x 2 ∣ 2 α ( t − s ) 2 1 − α .
The Beta integral is independent of t − s t-s t − s , and the reflection formula Γ ( z ) Γ ( 1 − z ) = π / sin ( π z ) \Gamma(z)\Gamma(1-z)=\pi/\sin(\pi z) Γ ( z ) Γ ( 1 − z ) = π / sin ( π z ) with z = α + 1 2 z=\alpha+\frac{1}{2} z = α + 2 1 evaluates it as π / cos ( π α ) \pi/\cos(\pi\alpha) π / cos ( π α ) . Taking square roots, we obtain (A.2).
For (A.3), we write
G ‾ ( t , x 2 ; s , y ) G ‾ ( t , x 2 ; 0 , 0 ) − G ‾ ( t , x 1 ; s , y ) G ‾ ( t , x 1 ; 0 , 0 ) = G ‾ ( t , x 2 ; s , y ) − G ‾ ( t , x 1 ; s , y ) G ‾ ( t , x 2 ; 0 , 0 ) + G ‾ ( t , x 1 ; s , y ) G ‾ ( t , x 1 ; 0 , 0 ) − G ‾ ( t , x 2 ; 0 , 0 ) G ‾ ( t , x 1 ; 0 , 0 ) G ‾ ( t , x 2 ; 0 , 0 ) , \begin{aligned}
\frac{\overline{G}(t,x_2;s,y)}{\overline{G}(t,x_2;0,0)}-\frac{\overline{G}(t,x_1;s,y)}{\overline{G}(t,x_1;0,0)} \\
&=\frac{\overline{G}(t,x_2;s,y)-\overline{G}(t,x_1;s,y)}{\overline{G}(t,x_2;0,0)}+\overline{G}(t,x_1;s,y)\frac{\overline{G}(t,x_1;0,0)-\overline{G}(t,x_2;0,0)}{\overline{G}(t,x_1;0,0)\overline{G}(t,x_2;0,0)},
\end{aligned} G ( t , x 2 ; 0 , 0 ) G ( t , x 2 ; s , y ) − G ( t , x 1 ; 0 , 0 ) G ( t , x 1 ; s , y ) = G ( t , x 2 ; 0 , 0 ) G ( t , x 2 ; s , y ) − G ( t , x 1 ; s , y ) + G ( t , x 1 ; s , y ) G ( t , x 1 ; 0 , 0 ) G ( t , x 2 ; 0 , 0 ) G ( t , x 1 ; 0 , 0 ) − G ( t , x 2 ; 0 , 0 ) ,
and apply generalized Hölder’s inequality. Since (20) holds for every k ∈ R k\in\mathbb{R} k ∈ R , the reciprocals G ‾ ( t , x i ; 0 , 0 ) − 1 \overline{G}(t,x_i;0,0)^{-1} G ( t , x i ; 0 , 0 ) − 1 have finite moments of every order. The first term is estimated by (A.2), and the second by (A.2) with s = 0 s=0 s = 0 , which contributes t 1 4 − α 2 t^{\frac{1}{4}-\frac{\alpha}{2}} t 4 1 − 2 α . Both powers are at most T 1 4 − α 2 T^{\frac{1}{4}-\frac{\alpha}{2}} T 4 1 − 2 α . This proves Lemma A.5. □
Covariance of the normalized stochastic heat equation
The covariance asymptotic below follows from [21 Remark 4.4] , applied to the identity function. The variance asymptotic is [13 Proposition 4.1] . We include a short direct proof for completeness.
Proposition A.6 (Normalized-SHE covariance). Recall ρ ‾ t Z ‾ ( x ) \overline{\rho}_t^{\overline{Z}}(x) ρ t Z ( x ) is defined in (6) . For every fixed t > 0 t>0 t > 0 , the normalized solution satisfies
ρ ‾ t Z ‾ ( x ) ∼ t ∣ x ∣ as ∣ x ∣ → ∞ and Var ( S ‾ N ( t ) ) ∼ 2 t N log N as N → ∞ . \overline{\rho}_t^{\overline{Z}}(x)\sim\frac{t}{|x|}\quad\text{as }|x|\to\infty\quad\text{and}\quad\operatorname{Var}(\overline{S}_N(t))\sim2tN\log N\quad\text{as }N\to\infty. ρ t Z ( x ) ∼ ∣ x ∣ t as ∣ x ∣ → ∞ and Var ( S N ( t )) ∼ 2 tN log N as N → ∞.
Proof. Put m ( s ) = E ∣ Z ( s , 0 ) ∣ 2 m(s)=\mathbb{E}|Z(s,0)|^2 m ( s ) = E ∣ Z ( s , 0 ) ∣ 2 . The identity Z ‾ ( s , x ) = G ‾ ( s , x ; 0 , 0 ) \overline{Z}(s,x)=\overline{G}(s,x;0,0) Z ( s , x ) = G ( s , x ; 0 , 0 ) and Theorem 1.3 of [11 ] , with noise strength one, imply m ( s ) → 1 m(s)\to1 m ( s ) → 1 as s ↓ 0 s\downarrow0 s ↓ 0 and M t : = sup 0 < s ≤ t m ( s ) < ∞ M_t:=\sup_{0<s\leq t}m(s)<\infty M t := sup 0 < s ≤ t m ( s ) < ∞ . Itô’s isometry and the Gaussian semigroup identity give the first equality below. For x > 0 x>0 x > 0 , Gaussian scaling and the substitutions v = t ( t − s ) / s v=t(t-s)/s v = t ( t − s ) / s and v = x 2 w v=x^2w v = x 2 w give the second:
ρ ‾ t Z ( x ) = ∫ 0 t m ( s ) p 2 s ( t − s ) / t ( s x / t ) d s . \overline{\rho}_t^Z(x)=\int_0^t m(s)p_{2s(t-s)/t}(sx/t)\,\mathrm{d}s. ρ t Z ( x ) = ∫ 0 t m ( s ) p 2 s ( t − s ) / t ( s x / t ) d s .
x ρ ‾ t Z ( x ) = t ∫ 0 ∞ x 2 t + x 2 w m ( t 2 t + x 2 w ) p 2 w ( 1 ) d w . x\overline{\rho}_t^Z(x)=t\int_0^\infty\frac{x^2}{t+x^2w}m\left(\frac{t^2}{t+x^2w}\right)p_{2w}(1)\,\mathrm{d}w. x ρ t Z ( x ) = t ∫ 0 ∞ t + x 2 w x 2 m ( t + x 2 w t 2 ) p 2 w ( 1 ) d w .
The second integrand converges to t p 2 w ( 1 ) / w tp_{2w}(1)/w t p 2 w ( 1 ) / w and is bounded by t M t p 2 w ( 1 ) / w tM_tp_{2w}(1)/w t M t p 2 w ( 1 ) / w . This majorant is integrable, with ∫ 0 ∞ p 2 w ( 1 ) w − 1 d w = 1 \int_0^\infty p_{2w}(1)w^{-1}\,\mathrm{d}w=1 ∫ 0 ∞ p 2 w ( 1 ) w − 1 d w = 1 , as the substitution z = 1 / ( 2 w ) z=1/(2\sqrt{w}) z = 1/ ( 2 w ) shows. Dominated convergence and evenness prove the covariance asymptotic.
By stationarity, Var ( S N ( t ) ) = 2 ∫ 0 N ( N − x ) ρ ‾ t Z ( x ) d x \operatorname{Var}(S_N(t))=2\int_0^N(N-x)\overline{\rho}_t^Z(x)\,\mathrm{d}x Var ( S N ( t )) = 2 ∫ 0 N ( N − x ) ρ t Z ( x ) d x . The covariance is nonnegative by its integral formula and bounded by m ( t ) − 1 m(t)-1 m ( t ) − 1 by Cauchy–Schwarz, so a fixed interval [ 0 , R ] [0,R] [ 0 , R ] contributes O ( N ) O(N) O ( N ) . For δ ∈ ( 0 , t ) \delta\in(0,t) δ ∈ ( 0 , t ) , choose R > 0 R>0 R > 0 such that the remaining tail lies between ( t − δ ) / x (t-\delta)/x ( t − δ ) / x and ( t + δ ) / x (t+\delta)/x ( t + δ ) / x . Since ∫ R N ( N − x ) x − 1 d x = N log N + O R ( N ) \int_R^N(N-x)x^{-1}\,\mathrm{d}x=N\log N+O_R(N) ∫ R N ( N − x ) x − 1 d x = N log N + O R ( N ) , the variance divided by N log N N\log N N log N has liminf at least 2 ( t − δ ) 2(t-\delta) 2 ( t − δ ) and limsup at most 2 ( t + δ ) 2(t+\delta) 2 ( t + δ ) . Letting δ ↓ 0 \delta\downarrow0 δ ↓ 0 proves the second assertion.