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arxiv: 0908.2473 · v1 · submitted 2009-08-18 · 🧮 math.PR

Stochastic integral representation of the L² modulus of Brownian local time and a central limit theorem

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keywords brownianlocalmodulustheoremtimecentrallimitstochastic
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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 \cite{CLMR}, 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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