Let $(W\_t)\_{t\ge 0}$ be a standard Brownian motion. For each $t\in [0,1]$, it is known that, e.g. from Burkholder-Davis-Gundy's inequality


$$\mathbb E\big[\sup\_{s\in [t,t+\Delta t]}|W\_s-W\_t|^p\big]=O(\Delta t^{p/2}),\quad \forall p\ge 1,$$


where $O$ refers to "of order". Do we have an estimate of


$$\mathbb E\big[\sup\_{s,t\in[0,1],~ |s-t|\le\Delta t}|W\_s-W\_t|^p\big]?$$


A student asked me this question when I taught Euler's scheme applied to SDEs and its convergence, but I cannot find any reference. Any answers, comments or references are appreciated.



On the "uniform continuity" of Brownian motion under expectation
For $n\in\mathbb{Z}\_{\geq 0}$ and $0\leq i< 2^n$, denote  

$$
X\_{n,i}=\sup\_{t\in[i2^{-n}, (i+1)2^{-n}]}{|W\_t-W\_{i2^n}|}.
$$


Let $n$ be such that $2^{-{n}}<|\Delta t|\leq 2^{-{n+1}}$. Then,
$$\sup\_{s,t\in[0,1],~ |s-t|\le\Delta t}|W\_s-W\_t|^p\leq 4\sup\_{i}|X\_{i,n}|^p,$$ because such $s$ and $t$ must belong to a union of three consecutive diadic intervals of length $2^{-n}$. For a fixed $n$, $X\_{n,i}$ are i. i. d. random variables; moreover, by Brownian scaling,
$$
X\_{n,i}\stackrel{\mathcal{D}}{=}2^{-n/2}X\_{0,0}.
$$
If $F(t)$ denotes the cumulative disctribution function of $X\_{0,0}$, then we have, with $N=2^n,$
$$\mathbb{P}(\sup\_{i}|X\_{i,n}|\leq t)=F(N^{1/2} t)^{N}.$$
It is well known that $\mathbb{P}(\sup\_{[0,1]} W\_t>a)=2\mathbb{P}(W\_t>a)\leq 2e^{-a^2/2}$ for $a$ large enough, so that
$F(t)\geq 1-4e^{-t^2/2}$, and
$$
\mathbb{P}(\sup\_{i}|X\_{i,n}|>t)\leq 1-(1-4e^{-Nt^2/2})^{N}.
$$
Let $T\_n:=\sqrt{2\log 2}n^\frac12 N^{-\frac12}$, then, plugging into the above,
$$
\mathbb{P}(\sup\_{i}|X\_{i,n}|>kT\_n)\leq 1-e^{N\log(1-4\cdot 2^{-k^2n})}\leq 10\cdot 2^{(1-k^2)n}. 
$$
That is to say, the median of $\sup\_{i}|X\_{i,n}|$ is of order at most $T\_n$ and its tail decays very sharply after that, implying  

$$\mathbb{E}\sup\_{i}|X\_{i,n}|^p=O(T\_n^p)$$ for all $p$, or
$$\mathbb{E}\left(\sup\_{s,t\in[0,1],~ |s-t|\le\Delta t}|W\_s-W\_t|^p\right)=O\left((|\Delta t\log (\Delta t)|^\frac{p}{2}\right).$$


These estimates don't lose much and they are of course very similar to Lévy's theorem on the modulus of continuity for Brownian motion.


