A CLT for the L^2 modulus of continuity of Brownian local time

DOI10.1214/09-AOP486zbMATH1190.60071MaRDI QIDQ2268705FDOQ2268705

Authors Xia Chen, Wenbo V. Li, Michael B. Marcus, Jay Rosen

Publication date 8 March 2010

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

Full work available at URL https://arxiv.org/abs/0901.1102

zbMATH Keywords

CLTmodulus of continuityBrownian local times

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sample path properties (60G17) Local time and additive functionals (60J55)

Abstract: Let $L_t^x;(x,t)in{R}^{1}imes{R}_{+}^1$ denote the local time of Brownian motion and [ alpha_{t}:=int_{-infty}^{infty} (L^{x}_{t})^{2} dx . ] Let $eta=N(0,1)$ be independent of $alph{a}_t$. For each fixed $t$ [ {int_{-infty}^{infty} (L^{x+h}_{t}- L^{x}_{t})^{2} dx- 4htover h^{3/2}} stackrel{mathcal{L}}{ o}({64 over 3})^{1/2}sqrt{alpha_{t}} eta, ] as $har0$. Equivalently [ {int_{-infty}^{infty} (L^{x+1}_{t}- L^{x}_{t})^{2} dx- 4tover t^{3/4}} stackrel{mathcal{L}}{ o}({64 over 3} )^{1/2}sqrt{alpha_{1}} eta, ] as $tarinfty$.

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Cited in

(8)

• Limit theorems for general functionals of Brownian local times
• On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
• Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
• A functional CLT for the \(L^2\) modulus of continuity of local time
• A stochastic calculus proof of the CLT for the \(L^2\) modulus of continuity of local time
• Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion
• A CLT FOR THE THIRD INTEGRATED MOMENT OF BROWNIAN LOCAL TIME INCREMENTS
• Moduli of continuity of the local time of a class of sub-fractional Brownian motions

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