A Note on the sharp $L^p$-Covergence rate of Upcrossings to the Brownian local time

Alberto Ohashi, Alexandre B. Simas

Published 2014-08-06, updated 2014-08-24Version 2

In this note, we prove a sharp $L^p$-rate of convergence of the number of upcrossings to the local time of the Brownian motion. In particular, it provides novel $p$-variation estimates ($2 < p < \infty$) for the number of upcrossings of the Brownian motion. Our result complements the fundamental work of Koshnevisan \cite{kho} who obtains an almost sure exact rate of convergence in the sup norm.