A limit theorem for moments in space of the increments of Brownian local time

Authors
Citation
Campese, Simon, A limit theorem for moments in space of the increments of Brownian local time, Annals of probability (Online) , 45(3), 2017, pp. 1512-1542
ISSN journal
2168894X
Volume
45
Issue
3
Year of publication
2017
Pages
1512 - 1542
Database
ACNP
SICI code
Abstract
We prove a limit theorem for moments in space of the increments of Brownian local time. As special cases for the second and third moments, previous results by Chen et al. [Ann. Prob. 38 (2010) 396.438] and Rosen [Stoch. Dyn. 11 (2011) 5.48], which were later reproven by Hu and Nualart [Electron. Commun. Probab. 15 (2010) 396.410] and Rosen [In Séminaire de Probabilités XLIII (2011) 95.104 Springer] are included. Furthermore, a conjecture of Rosen for the fourth moment is settled. In comparison to the previous methods of proof, we follow a fundamentally different approach by exclusively working in the space variable of the Brownian local time, which allows to give a unified argument for arbitrary orders. The main ingredients are Perkins. semimartingale decomposition, the Kailath.Segall identity and an asymptotic Ray.Knight theorem by Pitman and Yor.