Central limit theorem for the third moment in space of the Brownian local time increments
Yaozhong Hu, University of Kansas
David Nualart, University of Kansas
Abstract
The purpose of this note is to prove a central limit theorem for the
third integrated moment of the Brownian local time increments 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 third integrated moment of the
Brownian local time increments.
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