Wednesday, September 30, 2009
09:30 AM in LWSN 1142
David Nualart
Department of Mathematics, University of Kansas

Central limit theorem for the modulus of continuity of the Brownian local time

Abstract

In this talk we present a proof of the central limit theorem for the modulus of continuity of the Brownian local time based on the Clark-Ocone stochastic integral representation formula and an asymptotic version of Knight's theorem. We plan also to discuss the application of the techniques of Malliavin calculus to derive central limit theorems for Skorohod stochastic integrals.