Central limit theorem for the third moment in space of the Brownian local time increments
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Issue Date
2010-09-14Author
Hu, Yaozhong
Nualart, David
Publisher
Institute of Mathematical Statistics (IMS)
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
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.
Description
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v15-1573.
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Citation
Hu, Yaozhong & Nualart, David. "Central limit theorem for the third moment in space of the Brownian local time increments." (2010) Electronic Communications in Probability. Vol 15. pp. 396 - 410. http://dx.doi.org/10.1214/ECP.v15-1573.
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