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Stochastic integral representation of the L2 modulus of Brownian local time and a central limit theorem
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Yaozhong Hu, University of Kansas
David Nualart, University of Kansas
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Abstract
The purpose of this note is to prove a central limit theorem for the
L2modulus of continuity of the Brownian local time obtained in
[3], 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 $L^2$-modulus of the
Brownian local time
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Full text: PDF
Pages: 529-539
Published on: November 29, 2009
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Electronic Communications in Probability. ISSN: 1083-589X |
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