Limit theorems of Brownian additive functionals (Q6104277)
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scientific article; zbMATH DE number 7703451
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English | Limit theorems of Brownian additive functionals |
scientific article; zbMATH DE number 7703451 |
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Limit theorems of Brownian additive functionals (English)
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28 June 2023
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Let \((B_s)_{s\geq0}\) be a standard Brownian motion, with local time \(L_t\) at the origin defined by \(L_t=\lim_{\epsilon\to0}\frac{1}{2\epsilon}\int_0^t1\{|B_s|\leq\epsilon\}\,\text{d}s\). With \(\tau_\ell=\inf\{t\geq0 : L_t>\ell\}\), the author establishes laws of large numbers and central limit theorems for \(\int_0^{\tau_\ell}f(B_s)\,\text{d}s\) and \(\int_0^t f(B_s)\,\text{d}s\) as \(\ell\to\infty\) and \(t\to\infty\), respectively, for functions \(f\) satisfying some integrability conditions. The proofs use excursion theory.
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excursion theory
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central limit theorem
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law of large numbers
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additive functional
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Brownian motion
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