Integral and local limit theorems for level crossings of diffusions and the Skorohod problem
This paper is concerned with limit theorems of the type \[ \frac{1}{c}\left\{c \int_{\mathbb{R}} n^a_c(X, \cdot) da - \langle X\rangle \right\} \Longrightarrow \frac{1}{\sqrt{3}}B_{\langle X\rangle} \] as \(c\) tends to zero. Here, \(X\) is a diffusion (driven by a Brownian motion \(W\)), \(n^a_c(X,T)\) is the number of times such that a process \(X\) crosses the interval \([a, a+c]\) before \(T\), \(B\) is a standard Brownian motion independent of \(W\), and the convergence is interpreted as stable convergence on \(C(\mathbb{R}_{+},\mathbb{R})\) with the topology of uniform convergence on compact sets. The number of interval crossings is related to quadratic variation via the local time and occupation time formulas. A main tool in this article is the reduction of the interval crossings of a càdlàg process \(X\) to level crossings of a regularized version \(X^c\) and a double Skorokhod map. This approach makes use of the truncated variation of processes and associated limit theorems, which were studied by the first author in previous articles. In fact, the authors establish a correspondence of the double Skorokhod map and the truncated variation. The results are extended to functional limit theorems of the type \[ \frac{1}{c}\left\{c \int_{\mathbb{R}} f(a) n^a_c(X, \cdot) da - \int_{0}^{\cdot} f(X_s)d\langle X\rangle_s \right\} \Longrightarrow \frac{1}{\sqrt{3}} \int_{0}^{\cdot} f(X_s) B_{\langle X\rangle_s}, \] where \(f \in C^2(\mathbb{R})\). Moreover, these functional limit theorems are generalized to pathwise integrals along the regularized version \(X^c\) and to interval downcrossings and interval upcrossings.
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