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Stochastic integral representation of the L2 modulus of Brownian local time and a central limit theorem
Hu, Yaozhong Nualart, David
Hu, Yaozhong
Nualart, David
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Abstract
The purpose of this note is to prove a central limit theorem for the L2-modulus 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 L2-modulus of the Brownian local time.
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This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v14-1511.
Date
2009-11-09
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Institute of Mathematical Statistics (IMS)
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Keywords
Malliavin calculus, Clark-Ocone formula, Brownian local time, Knight theorem, central limit theorem, Tanaka formula
Citation
Hu, Yaozhong & Nualart, David. "Stochastic integral representation of the L<sup>2</sup> modulus of Brownian local time and a central limit theorem." (2009) Electronic Communications in Probability. Vol 14, pp. 1-10. http://dx.doi.org/10.1214/ECP.v14-1511.