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2009 Stochastic integral representation of the $L^2$ modulus of Brownian local time and a central limit theorem
Yaozhong Hu, David Nualart
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Electron. Commun. Probab. 14: 529-539 (2009). DOI: 10.1214/ECP.v14-1511

Abstract

The purpose of this note is to prove a central limit theorem for the $L^2$-modulus of continuity of the Brownian local time obtained in [3], 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 $L^2$-modulus of the Brownian local time

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Yaozhong Hu. David Nualart. "Stochastic integral representation of the $L^2$ modulus of Brownian local time and a central limit theorem." Electron. Commun. Probab. 14 529 - 539, 2009. https://doi.org/10.1214/ECP.v14-1511

Information

Accepted: 13 November 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1193.60074
MathSciNet: MR2564487
Digital Object Identifier: 10.1214/ECP.v14-1511

Subjects:
Primary: 60H07
Secondary: 60F05 , 60J55 , 60J65

Keywords: Brownian local time , central limit theorem , Clark-Ocone formula , Knight theorem , Malliavin calculus , Tanaka formula

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