A CLT for the $L^{2}$ moduli of continuity of local times of Levy processes

Michael B. Marcus, Jay Rosen

Published 2009-06-25Version 1

Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'evy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'evy exponent $\psi(\la)$ is regularly varying at infinity with index $1<\beta\leq 2$ and satisfies some additional regularity conditions && \sqrt{h\psi^{2}(1/h)} \lc \int (L^{x+h}_{1}- L^{x}_{1})^{2} dx- E(\int (L^{x+h}_{1}- L^{x}_{1})^{2} dx)\rc\nn && {1 in} \stackrel{\mathcal{L}}{\Longrightarrow} (8c_{\beta,1})^{1/2} \eta (\int (L_{1}^{x})^{2} dx)^{1/2} \nn, as $h\rar 0$, where $\eta$ is a normal random variable with mean zero and variance one that is independent of $L^{x}_{t}$, and $c_{\beta,1}$ is a known constant.