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文章基本信息

  • 标题:Stochastic integral representation of the $L^2$ modulus of Brownian local time and a central limit theorem
  • 本地全文:下载
  • 作者:Hu, Yaozhong ; Nualart, David
  • 期刊名称:Electronic Communications in Probability
  • 印刷版ISSN:1083-589X
  • 出版年度:2009
  • 卷号:14
  • 页码:529-539
  • DOI:10.1214/ECP.v14-1511
  • 出版社:Electronic Communications in Probability
  • 摘要: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
  • 关键词:Malliavin calculus, Clark-Ocone formula, Brownian local time, Knight theorem, central limit theorem, Tanaka formula;60H07, 60F05, 60J55, 60J65
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