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On L² modulus of continuity of Brownian . . .

By Aurélien Deya, David Nualart and Samy Tindel

Abstract

This article is concerned with modulus of continuity of Brownian local times. Specifically, we focus on 3 closely related problems: (a) Limit theorem for a Brownian modulus of continuity involving Riesz potentials, where the limit law is an intricate Gaussian mixture. (b) Central limit theorems for the projections of L² modulus of continuity for a 1-dimensional Brownian motion. (c) Extension of the second result to a 2-dimensional Brownian motion. Our proofs rely on a combination of stochastic calculus and Malliavin calculus tools, plus a thorough analysis of singular integrals

Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.373.591
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