Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators

Citation
Jr. Leon et G. Perera, Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators, BERNOULLI, 6(2), 2000, pp. 357-379
Citations number
15
Categorie Soggetti
Mathematics
Journal title
BERNOULLI
ISSN journal
13507265 → ACNP
Volume
6
Issue
2
Year of publication
2000
Pages
357 - 379
Database
ISI
SICI code
1350-7265(200004)6:2<357:AOTOLT>2.0.ZU;2-B
Abstract
We consider a particle of mass 1/beta submitted to the action of an harmoni c oscillator. If we add a white-noise external force, it is well known that the trajectories of the particle, for beta tending to infinity, converge t o an Ornstein-Uhlenbrck process. Using the number of crossings of the parti cle with a fixed level u, we construct a consistent estimator of the Ornste in-Uhlenbeck local time, giving an estimate of the speed of this convergenc e.