Rate of convergence in limit theorems for Brownian excursions (Q1180173): Difference between revisions

Let \(W(t)\), \(t\geq 0\), be a Wiener process. Let \(e_ i\), \(i=1,2,\dots,\) be the open disjoint time intervals (called excursions of \(W(t)\) away from 0) where \(W(t)\) is different from 0. For all times \(t\) and \(\varepsilon>0\), let \(\eta(t,\varepsilon)\) be the number of excursions in \([0,t]\) of length larger than \(\varepsilon\); and let \(\xi(t,\varepsilon)\) be the total length of excursions of length less than \(\varepsilon\). It is known that both \((\pi\varepsilon/2)^{1/2}\eta(t,\varepsilon)\) and \((\pi/2\varepsilon)^{1/2}\xi(t,\varepsilon)\) converge a.s. to the local time \(L(t)\) of \(W(t)\). Moreover, it has been recently proved that the normalized excursion processes converge, in the sense that both \[ \begin{aligned} \eta'(t,\varepsilon) & = ((\pi\varepsilon/2)^{1/2}\eta(t,\varepsilon)- L(t))(2/\pi\varepsilon)^{1/4} \qquad\text{and} \\ \xi'(t,\varepsilon) & = ((\pi/2\varepsilon)^{1/2}\xi(t,\varepsilon)- L(t))(18/\pi\varepsilon)^{1/4}\\ \end{aligned} \] converge in distribution to \(W'(L(t))\), where \(W'\) is a Wiener process independent of \(L(t)\). The purpose of the paper is to study the rate of convergence in the latter result. One of the final results states that the Prokhorov-Lévy difference of measures between the measures generated in \(D[0,T]\) by \(\eta'(t,\varepsilon)\) (resp. \(\xi'(t,\varepsilon))\) and \(W'(L(t))\) is \(O(\varepsilon^{1/12}(\lg 1/\varepsilon)^{3/2})\) (resp. \(O(\varepsilon^{1/12}(\lg 1/\varepsilon)^{7/8}))\).