A stochastic calculus proof of the CLT for the L^2 modulus of continuity of local time

DOI10.1007/978-3-642-15217-7_3MaRDI QIDQ3086793zbMATH OpenOpenAlexFDO

Authors Jay Rosen

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.2922

zbMATH Keywords

central limit theoremBrownian motionlocal timemoduli of continuity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Local time and additive functionals (60J55)

Abstract: We give a stochastic calculus proof of the Central Limit Theorem [ {int (L^{x+h}_{t}- L^{x}_{t})^{2} dx- 4htover h^{3/2}} stackrel{mathcal{L}}{Longrightarrow}c(int (L^{x}_{t})^{2} dx)^{1/2} eta] as $ho0$ for Brownian local time $L_t^x$. Here $eta$ is an independent normal random variable with mean zero and variance one.

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Cited in

(12)

• Limit theorems for general functionals of Brownian local times
• Continuous differentiability of renormalized intersection local times in \(\mathbb{R}^{1}\)
• 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 CLT for the \(L^{2}\) modulus of continuity of Brownian local time
• scientific article; zbMATH DE number 16140 (Why is no real title available?)
• Scale renormalization and random solutions of the Burgers equation
• Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• scientific article; zbMATH DE number 3897923 (Why is no real title available?)
• Central limit theorem for the third moment in space of the Brownian local time increments

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