TY - JOUR
T1 - Non-linear functionals of the Brownian bridge and some applications
AU - Berzin-Joseph, Corinne
AU - León, José R.
AU - Ortega, Joaquín
N1 - Generated from Scopus record by KAUST IRTS on 2019-11-20
PY - 2001/1/1
Y1 - 2001/1/1
N2 - 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.
AB - 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.
UR - https://linkinghub.elsevier.com/retrieve/pii/S0304414900000685
UR - http://www.scopus.com/inward/record.url?scp=18044402644&partnerID=8YFLogxK
U2 - 10.1016/S0304-4149(00)00068-5
DO - 10.1016/S0304-4149(00)00068-5
M3 - Article
SN - 0304-4149
VL - 92
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 1
ER -