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Central limit theorem for the third moment in space of the Brownian local time increments


 
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1. Title Title of document Central limit theorem for the third moment in space of the Brownian local time increments
 
2. Creator Author's name, affiliation, country Yaozhong Hu; University of Kansas
 
2. Creator Author's name, affiliation, country David Nualart; University of Kansas
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Brownian motion, local time, Clark-Ocone formula
 
3. Subject Subject classification 60H07, 60H05, 60F05
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF grant DMS0904538
 
7. Date (YYYY-MM-DD) 2010-09-14
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1573
 
10. Identifier Digital Object Identifier 10.1214/ECP.v15-1573
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 15
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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