The Kolmogorov Continuity Theorem

Fractional BM
Figure 1: Fractional Brownian motion with H = 1/4, 1/2, 3/4

One of the common themes throughout the theory of continuous-time stochastic processes, is the importance of choosing good versions of processes. Specifying the finite distributions of a process is not sufficient to determine its sample paths so, if a continuous modification exists, then it makes sense to work with that. A relatively straightforward criterion ensuring the existence of a continuous version is provided by Kolmogorov’s continuity theorem.

For any positive real number {\gamma}, a map {f\colon E\rightarrow F} between metric spaces E and F is said to be {\gamma}-Hölder continuous if there exists a positive constant C satisfying

\displaystyle  d(f(x),f(y))\le Cd(x,y)^\gamma

for all {x,y\in E}. Hölder continuous functions are always continuous and, at least on bounded spaces, is a stronger property for larger values of the coefficient {\gamma}. So, if E is a bounded metric space and {\alpha\le\beta}, then every {\beta}-Hölder continuous map from E is also {\alpha}-Hölder continuous. In particular, 1-Hölder and Lipschitz continuity are equivalent.

Kolmogorov’s theorem gives simple conditions on the pairwise distributions of a process which guarantee the existence of a continuous modification but, also, states that the sample paths {t\mapsto X_t} are almost surely locally Hölder continuous. That is, they are almost surely Hölder continuous on every bounded interval. To start with, we look at real-valued processes. Throughout this post, we work with repect to a probability space {(\Omega,\mathcal F, {\mathbb P})}. There is no need to assume the existence of any filtration, since they play no part in the results here

Theorem 1 (Kolmogorov) Let {\{X_t\}_{t\ge0}} be a real-valued stochastic process such that there exists positive constants {\alpha,\beta,C} satisfying

\displaystyle  {\mathbb E}\left[\lvert X_t-X_s\rvert^\alpha\right]\le C\lvert t-s\vert^{1+\beta},

for all {s,t\ge0}. Then, X has a continuous modification which, with probability one, is locally {\gamma}-Hölder continuous for all {0 < \gamma < \beta/\alpha}.

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