some limit theorems connected with brownian local time极限定理与布朗当地时间.pdfVIP

SOME LIMIT THEOREMS CONNECTED WITH BROWNIAN LOCAL TIME RAOUF GHOMRASNI Received 26 October 2004; Revised 11 April 2005; Accepted 12 April 2005 Let B x = (B ) be a standard Brownian motion and let (L ; t ≥ 0, x ∈ R) be a continuous t t≥0 t version of its local time process. We show that the following limit limε ↓0 (1/ 2ε) t {F (s,Bs − 0 ε) − F (s,B + ε)}ds is well defined for a large class of functions F (t,x ), and moreover we s connect it with the integration with respect to local time Lx . We give an illustrative ex- t ample of the nonlinearity of the integration with respect to local time in the random case. Copyright © 2006 Raouf Ghomrasni. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction 1.1. The local time of the Brownian motion B at the point a is defined as follows: La = Plim 1 t 1(|B −a |≤ε) ds, (1.1) t s ε ↓0 2ε 0 which equivalently could be written as follows: La = Plim 1 t 1(B −ε≤a) − 1(B +ε≤a) ds. (1.2) t s s ε ↓0 2ε 0 Here we are, more generally, interested in the limit in L1: