Path Regularity of the Brownian Motion and the Brownian Sheet

Abstract

By the work of P. Lévy, the sample paths of the Brownian motion are known to satisfy a certain Hölder regularity condition almost surely. This was later improved by Ciesielski, who studied the regularity of these paths in Besov and Besov-Orlicz spaces. We review these results and propose new function spaces of Besov type, strictly smaller than those of Ciesielski and Lévy, in which the sample paths of the Brownian motion almost surely lie. In the same spirit, we review and extend the work of Kamont, who investigated the same question for the multivariate Brownian sheet and function spaces of dominating mixed smoothness.