Some limit theorems connected with Brownian local time (Q871320)

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Some limit theorems connected with Brownian local time
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    Some limit theorems connected with Brownian local time (English)
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    19 March 2007
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    Summary: Let \(B=(B_t)_{t\geq 0}\) be a standard Brownian motion and let \((L_t^x;t\geq 0, x\in\mathbb{R})\) be a continuous version of its local time process. We show that the following limit \[ \lim_{\varepsilon\downarrow 0}(1/2\varepsilon)\int^t_0\bigl\{ F(s,B_s-\varepsilon)-F(s,B_s+ \varepsilon)\bigr\}ds \] is well defined for a large class of functions \(F(t,x)\), and moreover we connect it with the integration with respect to local time \(L_t^x\). We give an illustrative example of the nonlinearity of the integration with respect to local time in the random case.
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