Weak convergence of the scaled median of independent Brownian motions

DOI10.1007/S00440-006-0024-3MaRDI QIDQ2369870zbMATH OpenOpenAlexFDO

Authors Jason Swanson

Publication date 21 June 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0507524

zbMATH Keywords

Brownian motionFractional Brownian motionMedianTightnessWeak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: We consider the median of n independent Brownian motions, and show that this process, when properly scaled, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct estimates on the increments of the median process. An explicit formula is given for the covariance function of the limit process. The limit process is also shown to be Holder continuous with exponent gamma for all gamma < 1/4.

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Cites work

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Cited in

(12)

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