Some Brownian local time approximations.

Abstract: We give some approximations of the local time process

(L_{t}^{x})_{t g e q s l a n t 0}

at level

x

of the real Brownian motion

(X_{t})

. We prove that

f r a c 2 e p s i l o n i n t_{0}^{t} X_{(u + e p s i l o n) w e d g e t}^{+} i n d i_{X_{u} l e q s l a n t 0} d u + f r a c 2 e p s i l o n i n t_{0}^{t} X_{(u + e p s i l o n) w e d g e t}^{-} i n d i_{X_{u} > 0} d u

and

f r a c 4 e p s i l o n i n t_{0}^{t} X_{u}^{-} i n d i_{X_{(u + e p s i l o n) w e d g e t} > 0} d u

converge in the ucp sense to

L_{t}^{0}

, as

e p s i l o n o 0

. We show that

f r a c 1 e p s i l o n i n t_{0}^{t} (i n d i_{x < X_{s + e p s i l o n}} - i n d i_{x < X_{s}}) (X_{s + e p s i l o n} - X_{s}) d s

goes to

L_{t}^{x}

in

L^{2} (O m e g a)

as

e p s i l o n o 0

, and that the rate of convergence is of order

e p s i l o n^{a} l p h a

, for any

a l p h a < 1 / 4

.

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