A CLT for the L^{2} modulus of continuity of Brownian local time
Xia ChenWenbo LiMichael B. MarcusJay Rosen
所有作者
Xia ChenWenbo LiMichael B. MarcusJay Rosen
文献摘要
Let {Ltx;(x,t)∈R1×R+1} denote the local time of
Brownian motion and αt:=∫−∞∞(Ltx)2dx. Let η=N(0,1) be independent of αt. For each fixed th3/2∫−∞∞(Ltx+h−Ltx)2dx−4ht→L(364)1/2αtη, as
h\rar0. Equivalently t3/4∫−∞∞(Ltx+1−Ltx)2dx−4t→L(364)1/2α1η, as t\rar∞.