Brownian local time approximated by a Wiener sheet
Let L(a,t) be a jointly continuous Brownian local time. The authors prove the existence of a pair (W,\^L) of independent processes, where W is a Wiener sheet and \(\hat L\) is distributed as L(0,\(\cdot)\), such that a.s. as \(t\to \infty:\) \(\alpha)\quad \sup_{0\leq a\leq a^*t^{\delta /2}}| L(a,t)-L(0,t)-2W(a,\hat L(0,t))| =O(t^{(1+\delta)/4- \epsilon /2}),\) \[ \beta)\quad | \hat L(0,t)-L(0,t)| =O(t^{15/32}\log^ 2t), \] where \(a^*\) is a positive constant and \(\delta\) and \(\epsilon\) are small enough. This strong approximation property explains nicely a weaker result obtained by \textit{M. Yor} [Sémin. de Probabilités XVII, Proc. 1981/82, Lect. Notes Math. 986, 89-105 (1983; Zbl 0514.60075)] and yields asymptotic properties for the Brownian local times.
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