Some Brownian local time approximations.

DOI10.1016/J.CRMA.2007.05.007zbMATH Open1121.60081arXivmath/0609701OpenAlexW2032969369MaRDI QIDQ997987FDOQ997987

Pierre Vallois, Blandine Bérard Bergery

Publication date: 10 August 2007

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Abstract: We give some approximations of the local time process $(L_t^x{)}_{tgeqslant0}$ at level $x$ of the real Brownian motion $(X_t)$. We prove that $frac2epsilonin{t}_0^t{X}_{(u+epsilon)wedget}^{+}ind{i}_{X_{u}leqslant0}du+frac2epsilonin{t}_0^t{X}_{(u+epsilon)wedget}^{-}ind{i}_{X_u>0}du$ and $frac4epsilonin{t}_0^t{X}_u^{-}ind{i}_{X_{(u+epsilon)wedget}>0}du$ converge in the ucp sense to $L_t^0$, as $epsilono0$. We show that $frac1epsilonin{t}_0^t(ind{i}_{x<X_{s+epsilon}}-ind{i}_{x<X_s})(X_{s+epsilon}-X_s)ds$ goes to $L_t^x$ in $L^2(Omega)$ as $epsilono0$, and that the rate of convergence is of order $epsilo{n}^{a}lpha$, for any $alpha<1/4$.

Full work available at URL: https://arxiv.org/abs/math/0609701

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

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• Ito formula for \(C^ 1\)-functions of semimartingales
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Cited In (3)

• Local times of Markov processes approximated by a generalized iterated Brownian motion
• Exact rates of convergence to Brownian local time
• Approximation via regularization of the local time of semimartingales and Brownian motion

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