The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\) (Q1326287): Difference between revisions

Let \(L(x,T)\), \(x \in \mathbb{R}^ d\), \(T \in \mathbb{R}^ N_ +\), be the local time of the \(N\)-parameter Wiener process \(W\) taking values in \(\mathbb{R}^ d\). Even in the distribution valued cases \(d \geq 2N\), \(L\) can be described in a series representation by means of multiple Wiener-Itô integrals. This setting proves to be a good starting point for the investigation of the asymptotic behaviour of \(L(x,T)\) as \(| x | \to 0\) and/or \(T \to \infty\) and of related occupation integrals \(X_ T(f)=\int_{[0,T]} f(W_ s)ds\) as \(T \to \infty\). We obtain the rates of explosion in laws of the first order, i.e. normalized convergence laws for \(L(x,T)\) resp. \(X_ T(f)\), and of the second order, i.e. normalized convergence laws for \(L(x,T)-E(L(x,T))\) resp. \(X_ T(f)-E(X_ T(f))\).