Stochastic integral representation of the  modulus of Brownian local time and a central limit theorem.

Hu, Yaozhong; Nualart, David

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Displaying similar documents to “Stochastic integral representation of the $L^{2}$ modulus of Brownian local time and a central limit theorem.”

Minimal thinness for subordinate Brownian motion in half-space

Panki Kim, Renming Song, Zoran Vondraček (2012)

Annales de l’institut Fourier

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We study minimal thinness in the half-space $H : = {x = (\tilde{x}, x_{d}) : \tilde{x} \in ℝ^{d - 1}, x_{d} > 0}$ for a large class of subordinate Brownian motions. We show that the same test for the minimal thinness of a subset of $H$ below the graph of a nonnegative Lipschitz function is valid for all processes in the considered class. In the classical case of Brownian motion this test was proved by Burdzy.

Curvilinear integrals along enriched paths.

Feyel, Denis, de La Pradelle, Arnaud (2006)

Electronic Journal of Probability [electronic only]

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Weak convergence to fractional Brownian motion in some anisotropic Besov space

M. Ait Ouahra (2004)

Annales mathématiques Blaise Pascal

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We give some limit theorems for the occupation times of 1-dimensional Brownian motion in some anisotropic Besov space. Our results generalize those obtained by Csaki et [] in continuous functions space.

The exit place of Brownian motion in an unbounded domain.

Deblassie, Dante (2009)

Electronic Journal of Probability [electronic only]

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On the local time of sub-fractional Brownian motion

Ibrahima Mendy (2010)

Annales mathématiques Blaise Pascal

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$S^{H} = {S_{t}^{H}, t \geq 0}$ be a sub-fractional Brownian motion with $H \in (0, 1)$ . We establish the existence, the joint continuity and the Hölder regularity of the local time $L^{H}$ of $S^{H}$ . We will also give Chung’s form of the law of iterated logarithm for $S^{H}$ . This results are obtained with the decomposition of the sub-fractional Brownian motion into the sum of fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. This decomposition is given by Ruiz de Chavez and Tudor []. ...

Reflected diffusions defined via the extended Skorokhod map.

Ramanan, Kavita (2006)

Electronic Journal of Probability [electronic only]

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Local time and related sample paths of filtered white noises

Raby Guerbaz (2007)

Annales mathématiques Blaise Pascal

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We study the existence and the regularity of the local time of filtered white noises $X = {X (t), t \in [0, 1]}$ . We will also give Chung’s form of the law of iterated logarithm for $X$ , this shows that the result on the Hölder regularity, with respect to time, of the local time is sharp.

Convex concentration inequalities and forward-backward stochastic calculus.

Klein, Thierry, Ma, Yutao, Privault, Nicolas (2006)

Electronic Journal of Probability [electronic only]

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Displaying similar documents to “Stochastic integral representation of the L 2 modulus of Brownian local time and a central limit theorem.”

Displaying similar documents to “Stochastic integral representation of the $L^{2}$ modulus of Brownian local time and a central limit theorem.”