Stochastic integral representation of the L^2 modulus of Brownian local time and a central limit theorem

DOI10.1214/ECP.V14-1511MaRDI QIDQ967686zbMATH OpenFDO

Authors Yaozhong Hu, David Nualart

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, https://eudml.org/doc/223900, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticle1c39.html

zbMATH Keywords

Brownian local timecentral limit theoremclark-ocone formulaknight theoremMalliavin calculustanaka formula

Mathematics Subject Classification ID

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

Abstract: The purpose of this note is to prove a central limit theorem for the $L^2$-modulus of continuity of the Brownian local time obtained in cite{CLMR}, using techniques of stochastic analysis. The main ingredients of the proof are an asymptotic version of Knight's theorem and the Clark-Ocone formula for the $L^2$-modulus of the Brownian local time.

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Cited in

(12)

• A functional CLT for the \(L^2\) modulus of continuity of local time
• The Edwards-Wilkinson limit of the random heat equation in dimensions three and higher
• A CLT for the \(L^{2}\) modulus of continuity of Brownian local time
• On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
• Kernel Density Estimation and Local Time
• A CLT FOR THE THIRD INTEGRATED MOMENT OF BROWNIAN LOCAL TIME INCREMENTS
• A stochastic calculus proof of the CLT for the L^2 modulus of continuity of local time
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion
• Central limit theorem for the third moment in space of the Brownian local time increments
• A class of Gaussian processes with fractional spectral measures
• Limit theorems for general functionals of Brownian local times

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