Weak convergence of the integrated number of level crossings to the local time for Wiener processes
Berzin-Joseph, Corinne ; León, José R.
HAL, hal-00319481 / Harvested from HAL
Let $\{X_{t}, t \in [0,1]\}$ be a Wiener process defined on $(\Omega, A, P)$ with covariance function $r(t,s) = E(X_{t}X_{s}) = inf\{ t, s\}$. We define the regularized process $X^{\varepsilon}_{t}= \varphi_{\varepsilon}*X_{t}$, with $\varphi_{\varepsilon}$ a kernel that approaches Dirac's delta function. We study the convergence of $$ Z_{\varepsilon}(f) = \varepsilon^{-\frac{1}{2}}{\displaystyle \int_{-\infty}^{+\infty}} [ \frac{N^{X^{\varepsilon}}(x)}{c(\epsilon)} - L_{X}(x) ] f(x) dx $$ when $\varepsilon$ goes to zero, with $N^{X^{\varepsilon}}(x)$ the number of crossings for $X^{\varepsilon}$ at level $x$ in $[0,1]$ and $L_{X}(x)$ the local time of X in $x$ on $[0,1]$.
Publié le : 1994-07-04
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00319481,
     author = {Berzin-Joseph, Corinne and Le\'on, Jos\'e R.},
     title = {Weak convergence of the integrated number of level crossings to the local time for Wiener processes},
     journal = {HAL},
     volume = {1994},
     number = {0},
     year = {1994},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00319481}
}
Berzin-Joseph, Corinne; León, José R. Weak convergence of the integrated number of level crossings to the local time for Wiener processes. HAL, Tome 1994 (1994) no. 0, . http://gdmltest.u-ga.fr/item/hal-00319481/