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 Electronic Communications in Probability > Vol. 15(2010) > Paper 36 open journal systems 


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.


Full text: PDF

Pages: 396-410

Published on: September 26, 2010
Bibliography
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Electronic Communications in Probability. ISSN: 1083-589X