Electronic Journal of Probability

Central limit theorems for the $L^{2}$ norm of increments of local times of Lévy processes

Michael Marcus and Jay Rosen

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Abstract

Let $X=\{X_{t},t\in R_{+}\}$   be a symmetric Lévy process with  local time   $\{L^{ x }_{ t}\,;\,(x,t)\in R^{ 1}\times  R^{  1}_{ +}\}$. When the Lévy exponent $\psi(\lambda)$  is regularly varying at zero with   index $1<\beta\leq 2$, and satisfies some additional regularity conditions,  $$ \lim_{t\to\infty}{ \int_{-\infty}^{\infty} ( L^{ x+1}_{t}- L^{ x}_{ t})^{ 2}\,dx- E\left(\int_{-\infty}^{\infty} ( L^{ x+1}_{t}- L^{ x}_{ t})^{ 2}\,dx\right)\over t\sqrt{\psi^{-1}(1/t)}}$$ is equal in law to $$(8c_{\psi,1 })^{1/2}\left(\int_{-\infty}^{\infty} \left(L_{\beta,1}^{x}\right)^{2}\,dx\right)^{1/2}\,\eta$$ where    $L_{\beta,1}=\{L^{ x }_{\beta, 1}\,;\, x \in R^{ 1} \}$ denotes the local time, at time 1, of   a symmetric stable process with index $\beta$,   $\eta$ is a normal random variable with mean zero and variance one that is independent of $L _{ \beta,1}$, and $c_{\psi,1}$ is a known constant that depends on $\psi$.When the Lévy exponent $\psi(\lambda)$  is regularly varying at infinity with   index $1<\beta\leq 2$ and satisfies some additional regularity conditions $$\lim_{h\to 0}\sqrt{h\psi^{2}(1/h)} \left\{ \int_{-\infty}^{\infty} ( L^{ x+h}_{1}- L^{ x}_{ 1})^{ 2}\,dx- E\left( \int_{-\infty}^{\infty} (  L^{ x+h}_{1}- L^{ x}_{ 1})^{ 2}\,dx\right)\right\}$$ is equal in law to $$(8c_{\beta,1})^{1/2}\,\,\eta\,\, \left( \int_{-\infty}^{\infty}  (L_{1}^{x})^{2}\,dx\right)^{1/2}$$ where $\eta$ is a normal random variable with mean zero and variance one that is independent of   $\{L^{ x }_{ 1},x\in R^{1}\}$, and $c_{\beta,1}$ is a known constant.

Article information

Source
Electron. J. Probab., Volume 17 (2012), paper no. 7, 111 pp.

Dates
Accepted: 18 January 2012
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1465062329

Digital Object Identifier
doi:10.1214/EJP.v17-1740

Mathematical Reviews number (MathSciNet)
MR2878786

Zentralblatt MATH identifier
1246.60038

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60J55: Local time and additive functionals 60G51: Processes with independent increments; Lévy processes

Keywords
Central Limit Theorem $L^{2}$ norm of increments local time L\'evy process

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Marcus, Michael; Rosen, Jay. Central limit theorems for the $L^{2}$ norm of increments of local times of Lévy processes. Electron. J. Probab. 17 (2012), paper no. 7, 111 pp. doi:10.1214/EJP.v17-1740. https://projecteuclid.org/euclid.ejp/1465062329


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