Central Limit Theorems for the Local Times of Certain Markov Processes and the Squares of Gaussian Processes
Adler, Robert J. ; Marcus, Michael B. ; Zinn, Joel
Ann. Probab., Tome 18 (1990) no. 4, p. 1126-1140 / Harvested from Project Euclid
Let $\{X_t, t \geq 0\}$ be an $R^d$-valued, symmetric, right Markov process with stationary transition density. Let $\{\hat{X}_t, t \geq 0\}$ denote the version of $X_t$ "killed" at an exponential random time, independent of $X_t$. Associated with $\hat{X}_t$ is a Green's function $g(x, y)$, which we assume satisfies $0 < g(x, x) < \infty$ for all $x$ and a local time $\{L_x, x \in R^d\}$. It follows from an isomorphism theorem of Dynkin that $L_x$ has continuous sample paths whenever $\{G(x), x \in R^d\}$, a Gaussian process with covariance $g(x, y)$, does. In this paper we use Dynkin's theorem to show that $L_x$ satisfies the central limit theorem in the space of continuous functions on $R^d$ if and only if $G(x)$ has continuous sample paths. This result strengthens a result of Adler and Epstein on the construction of the free field by means of a central limit theorem involving the local time, in the case when the local time is a point indexed process. In order to apply Dynkin's theorem the following result is obtained: The square of a continuous Gaussian process satisfies the central limit theorem in the space of continuous functions.
Publié le : 1990-07-14
Classification:  Local time,  Markov process,  Gaussian process,  central limit theorem,  60J55,  60G15,  60F05
@article{1176990738,
     author = {Adler, Robert J. and Marcus, Michael B. and Zinn, Joel},
     title = {Central Limit Theorems for the Local Times of Certain Markov Processes and the Squares of Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {18},
     number = {4},
     year = {1990},
     pages = { 1126-1140},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990738}
}
Adler, Robert J.; Marcus, Michael B.; Zinn, Joel. Central Limit Theorems for the Local Times of Certain Markov Processes and the Squares of Gaussian Processes. Ann. Probab., Tome 18 (1990) no. 4, pp.  1126-1140. http://gdmltest.u-ga.fr/item/1176990738/