Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators (Q1567214)
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English | Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators |
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Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators (English)
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16 February 2001
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The trajectories of a particle of mass \(1/\beta\) submitted to the action of a harmonic oscillator with an external white noise force converge, as \(\beta\to\infty\), to an Ornstein-Uhlenbeck process [see \textit{E. Nelson}, ``Dynamical theories of Brownian motion'' (1967; Zbl 0165.58502)]. The authors of the present paper show that the number of crossings of the particle with a fixed level, suitably normalized, converge in \(L^2\) to the local time of the Ornstein-Uhlenbeck process. They also obtain a weak limit theorem indicating the speed of the convergence. A key to these results is the interpretation of the approximating process as a regularization of the Ornstein-Uhlenbeck process by convolution with a non-compactly supported kernel.
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harmonic oscillator
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external white noise force
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Ornstein-Uhlenbeck process
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local time
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estimator
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