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

momentscentral limit theoremBrownian local timeincrementsKailath-Segall identityPerkin's semi-martingale decomposition, Ray-Knight theorem

Mathematics Subject Classification ID

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

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.

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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
• Central limit theorem for the third moment in space of the Brownian local time increments
• A CLT FOR THE THIRD INTEGRATED MOMENT OF BROWNIAN LOCAL TIME INCREMENTS
• Limit theorems for general functionals of Brownian local times
• Large time asymptotic properties of the stochastic heat equation
• A stochastic calculus proof of the CLT for the \(L^2\) modulus of continuity of local time

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