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

Abstract: Let

L_{t}^{x}; (x, t) i n R^{1} i m e s R_{+}^{1}

denote the local time of Brownian motion and [ alpha_{t}:=int_{-infty}^{infty} (L^{x}_{t})^{2} dx . ] Let

e t a = N (0, 1)

be independent of

a l p h 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

h a r 0

. 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

t a r i n f t y

.

Review text

Let \(\{L_t^x; \,\, (x,t)\in \mathbb{R}^1\times \mathbb{R}_+^1\}\) be the local time of Brownian motion, \(\tilde{L}_t^x\) is its independent copy, \(\alpha_t:=\int_{-\infty}^\infty (L_t^x)^2dx \), \(\beta_{s,t} =\int_{-\infty}^\infty L_s^x \tilde{L}_t^x dx\). Let \(\eta=N(0,1)\) be independent of \(\alpha_t\). The main results of the paper state that for each fixed \(t\) \[ \frac{ \int_{-\infty}^\infty (L_s^{x+h} -L_s^x)^2 dx-4ht}{h^{3/2}}\to \sqrt{\frac{64}{3}}^{1/2} \sqrt{\alpha_t} \eta; \] in law as \(h\to 0\); \[ \frac{ \int_{-\infty}^\infty (L_t^{x+h} -L_t^x)(\tilde{L}_t^{x+h} -\tilde{L}_t^x) dx }{h^{3/2}}\to C \sqrt{\beta_{s,t} } \eta; \] in law as \(h\to 0\). The idea of the proofs is based on the method of moments.

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