Non-linear functionals of the Brownian bridge and some applications

Corinne Berzin-Joseph, José R. León, Joaquín Ortega

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

Let {bF(t),t∈[0,1]} be an F-Brownian bridge process. We study the asymptotic behaviour of non-linear functionals of regularizations by convolution of this process and apply these results to the estimation of the variance of a non-homogeneous diffusion and to the convergence of the number of crossings of a level by the regularized process to a modification of the local time of the Brownian bridge as the regularization parameter goes to 0. © 2001 Elsevier Science B.V.
Original languageEnglish (US)
JournalStochastic Processes and their Applications
Volume92
Issue number1
DOIs
StatePublished - Jan 1 2001
Externally publishedYes

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