Central limit theorem for the modulus of continuity of the Brownian local time in $L^3(\mathbb{R})$

Details Central limit theorem for the modulus of continuity of the Brownian local time in $L^3(\mathbb{R})$ Central limit theorem for the modulus of continuity of the Brownian local time in $L^3(\mathbb{R})$

2009-12-12

arxiv.org/abs/0912.2400v1

Mathematics

Probability

Scientific paper

The purpose of this note is to prove a central limit theorem for the
$L^3$-modulus of continuity of the Brownian local time 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 $L^3$-modulus
of the Brownian local time.

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