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The purpose of this note is to prove a central limit theorem for the third integrated moment of the Brownian local time increments using techniques of stochastic analysis.. This
We give a new representation of fractional Brownian motion with Hurst parameter H ≤ 1 2 using stochastic partial differential equations.. This representation allows us to use the
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
GUE, eigenvalues of random matrices, Hermitian Brownian motion, non-colliding Brownian motions, Weyl chamber, queues in series, Burke’s theorem, reversibility, Pitman’s representa-
Key words: random fields, Gaussian processes, fractional Brownian motion, fractal mea- sures, self–similar measures, small deviations, Kolmogorov numbers, metric entropy,
Nualart: Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H in (0,1/2), preprint.. Victoir, Good Rough Path Sequences
Keywords and phrases: Level crossings, fractional Brownian motion, limit theo- rem, local time, rate of convergence.. AMS subject classification (2000): Primary 60F05; Secondary
Key words: Martingale, differential subordination, orthogonal martingales, moment inequality, stochastic integral, Brownian motion, best constants.. AMS 2000 Subject
