A stochastic calculus proof of the CLT for the L^{2} modulus of continuity of local time
Jay Rosen
所有作者
Jay Rosen
文献摘要
We give a stochastic calculus proof of the Central Limit Theorem h3/2∫(Ltx+h−Ltx)2dx−4ht⟹Lc(∫(Ltx)2dx)1/2η
as h→0 for Brownian local time Ltx. Here η is an independent
normal random variable with mean zero and variance one.