English

A CLT for the third integrated moment of Brownian local time increments

Probability 2009-10-20 v2

Abstract

Let {Ltx;(x,t)R1×R+1}\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\} denote the local time of Brownian motion. Our main result is to show that for each fixed tt (Ltx+hLtx)3dx12h(Ltx+hLtx)Ltxdx24h2th2L192((Ltx)3dx)1/2η{\int (L^{x+h}_t- L^x_t)^3 dx-12h\int (L^{x+h}_t - L^x_t)L^x_t dx-24h^{2}t\over h^2} \stackrel{\mathcal{L}}{\Longrightarrow}\sqrt{192}(\int (L^x_t)^3dx)^{1/2}\eta as h0h\to 0, where η\eta is a normal random variable with mean zero and variance one that is independent of LtxL^{x}_{t}. This generalizes our previous result for the second moment. We also explain why our approach will not work for higher moments

Keywords

Cite

@article{arxiv.0907.2693,
  title  = {A CLT for the third integrated moment of Brownian local time increments},
  author = {Jay Rosen},
  journal= {arXiv preprint arXiv:0907.2693},
  year   = {2009}
}