A CLT for the \(L^{2}\) modulus of continuity of Brownian local time (Q2268705)
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English | A CLT for the \(L^{2}\) modulus of continuity of Brownian local time |
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A CLT for the \(L^{2}\) modulus of continuity of Brownian local time (English)
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8 March 2010
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Let \(\{L_t^x; \,\, (x,t)\in \mathbb{R}^1\times \mathbb{R}_+^1\}\) be the local time of Brownian motion, \(\tilde{L}_t^x\) is its independent copy, \(\alpha_t:=\int_{-\infty}^\infty (L_t^x)^2dx \), \(\beta_{s,t} =\int_{-\infty}^\infty L_s^x \tilde{L}_t^x dx\). Let \(\eta=N(0,1)\) be independent of \(\alpha_t\). The main results of the paper state that for each fixed \(t\) \[ \frac{ \int_{-\infty}^\infty (L_s^{x+h} -L_s^x)^2 dx-4ht}{h^{3/2}}\to \sqrt{\frac{64}{3}}^{1/2} \sqrt{\alpha_t} \eta; \] in law as \(h\to 0\); \[ \frac{ \int_{-\infty}^\infty (L_t^{x+h} -L_t^x)(\tilde{L}_t^{x+h} -\tilde{L}_t^x) dx }{h^{3/2}}\to C \sqrt{\beta_{s,t} } \eta; \] in law as \(h\to 0\). The idea of the proofs is based on the method of moments.
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CLT
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Brownian local times
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modulus of continuity
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