Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem

DOI10.1214/ECP.v14-1511zbMath1193.60074arXiv0908.2473MaRDI QIDQ967686

David Nualart, Yaozhong Hu

Publication date: 30 April 2010

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.2473

zbMATH Keywords

Malliavin calculuscentral limit theoremBrownian local timeclark-ocone formulaknight theoremtanaka formula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Related Items (6)

Kernel Density Estimation and Local Time ⋮ On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion ⋮ A class of Gaussian processes with fractional spectral measures ⋮ Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion ⋮ The Edwards-Wilkinson limit of the random heat equation in dimensions three and higher ⋮ On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials

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