A limit theorem for moments in space of the increments of Brownian local time

DOI10.1214/16-AOP1093MaRDI QIDQ2012244zbMATH OpenFDO

Authors Simon Campese

Publication date 28 July 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.07358

zbMATH Keywords

Brownian local timecentral limit theoremincrementsKailath-Segall identitymomentsPerkin's semi-martingale decomposition, Ray-Knight theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55) Brownian motion (60J65)

Abstract: We proof a limit theorem for moments in space of the increments of Brownian local time. As special cases for the second and third moments, previous results by Chen et al. (Ann. Prob. 38, 2010, no. 1) and Rosen (Stoch. Dyn. 11, 2011, no. 1), which were later reproven by Hu and Nualart (Electron. Commun. Probab. 14, 2009; Electron. Commun. Probab. 15, 2010) and Rosen (S'eminaire de Probabilit'es XLIII, Springer, 2011) are included. Furthermore, a conjecture of Rosen for the fourth moment is settled. In comparison to the previous methods of proof, we follow a fundamentally different approach by exclusively working in the space variable of the Brownian local time, which allows to give a unified argument for arbitrary orders. The main ingredients are Perkins' semimartingale decomposition, the Kailath-Segall identity and an asymptotic Ray-Knight Theorem by Pitman and Yor.

Review text

If \((L_t^x)\) is the local time of Brownian motion, \textit{X. Chen} et al. [Ann. Probab. 38, No. 1, 396--438 (2010; Zbl 1190.60071)] proved that \[ \frac{1}{h^{3/2}}\left(\int_{-\infty}^{\infty}(L_t^ {x+h}-L_t^x)^2 dx - 4 ht \right) \] converges in distribution to \(\sqrt{\frac{64}{3}\int_{-\infty}^{\infty}(L_t^x)^2dxZ},\) where \(Z\) is a standard Gaussian random variable, independent of \((L_t^x)_{x \in \mathcal{R}}.\) The proof of this was through the method of moments, and subsequently two different proofs were given: one by \textit{J. Rosen} [Lect. Notes Math. 2006, 95--104 (2011; Zbl 1219.60028)] using stochastic calculus and Brownian self-intersection local times and the other by \textit{Y. Hu} and \textit{D. Nualart} [Electron. Commun. Probab. 14, 529--539 (2009; Zbl 1193.60074)] using Malliavin calculus and Pitman and Yor's asymptotic version of the Ray-Knight theorem. The author of the article under review takes a fundamentally different approach to exclusively work in the space variable \(x\) instead of approaching the problem through the time domain \(t\) and states and proves a result for arbitrary integer powers in place of the power 2 in the cited result. This generalizes the two proofs and also is amenable for further generalization as the time \(t\) can be replaced with a suitable stopping time \(\tau.\) The result also proves a conjecture of Rosen. The author's proof starts with Perkin's semimartingale decomposition of Brownian local time in space and uses an iterative application of the Kailath-Segall formula.

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• A CLT FOR THE THIRD INTEGRATED MOMENT OF BROWNIAN LOCAL TIME INCREMENTS
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Cited in

(6)

• On some limit theorems for occupation times of one dimensional Brownian motion and its continuous additive functionals locally of zero energy
• Large time asymptotic properties of the stochastic heat equation
• A CLT FOR THE THIRD INTEGRATED MOMENT OF BROWNIAN LOCAL TIME INCREMENTS
• A stochastic calculus proof of the CLT for the L^2 modulus of continuity of local time
• Central limit theorem for the third moment in space of the Brownian local time increments
• Limit theorems for general functionals of Brownian local times

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