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arxiv: 1408.1426 · v2 · pith:IKW6Y2GQnew · submitted 2014-08-06 · 🧮 math.PR

A Note on the sharp L^p-Covergence rate of Upcrossings to the Brownian local time

classification 🧮 math.PR
keywords brownianrateupcrossingsconvergencelocalmotionnotenumber
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In this note, we prove a sharp $L^p$-rate of convergence of the number of upcrossings to the local time of the Brownian motion. In particular, it provides novel $p$-variation estimates ($2 < p < \infty$) for the number of upcrossings of the Brownian motion. Our result complements the fundamental work of Koshnevisan \cite{kho} who obtains an almost sure exact rate of convergence in the sup norm.

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