Limit Theorem on Convergence to the Local Time of a Brownian Bridge

An integer random walk $$\{S_{i},\,i\geq 0\}$$ with zero drift and finite variance $$\sigma^{2}$$ is considered. For a random process that assigns, to a variable $$u\in \mathbb{R}$$ , the number of hits of the specified walk into the state $$\lfloor u\sigma\sqrt n\rfloor $$ up to time $$n$$ and is considered under the condition that $$S_{n}=0$$ , a functional limit theorem concerning convergence of the process to the local time of the Brownian bridge is proved.

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Publication Details

Journal
Mathematical Notes
Published
2024-12-01
DOI
https://doi.org/10.1134/s0001434624110014
Primary Topic
Stochastic processes and statistical mechanics
Type
article
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article

Limit Theorem on Convergence to the Local Time of a Brownian Bridge

Valeriy Ivanovich Afanasyev
Mathematical Notes
Stochastic processes and statistical mechanics
article

Limit Theorem on Convergence to the Local Time of a Brownian Bridge

Valeriy Ivanovich Afanasyev
article en

Abstract

An integer random walk $$\{S_{i},\,i\geq 0\}$$ with zero drift and finite variance $$\sigma^{2}$$ is considered. For a random process that assigns, to a variable $$u\in \mathbb{R}$$ , the number of hits of the specified walk into the state $$\lfloor u\sigma\sqrt n\rfloor $$ up to time $$n$$ and is considered under the condition that $$S_{n}=0$$ , a functional limit theorem concerning convergence of the process to the local time of the Brownian bridge is proved.

Mathematical NotesVol. 116(5-6)
Russian Academy of Sciences (RU), Steklov Mathematical Institute (RU)
Openalex Percentile: Top 58%
Stochastic processes and statistical mechanics
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Limit Theorem on Convergence to the Local Time of a Brownian Bridge — Valeriy Ivanovich Afanasyev · Mathematical Notes (2024) | TGRS Research Map | TGRS