Rosen's fourth-power central limit conjecture for Brownian local time increments

Let B=(Bt)t0B=(B_t)_{t\geq 0} be Brownian motion, let LtxL_t^x denote its local time at xRx\in\mathbb{R}, and define the increment

ΔxhLtx=Ltx+hLtx.\Delta_x^hL_t^x=L_t^{x+h}-L_t^x.

Let ZN(0,1)Z\sim\mathcal{N}(0,1) be independent of (Ltx)xR(L_t^x)_{x\in\mathbb{R}}. Rosen's conjecture. It holds that

1h5/2((ΔxhLtx)4dx24h(ΔxhLtx)2Ltxdx+48h2(Ltx)2dx(ΔxhLtx)Ltxdx)d294!5(Ltx)4dxZ.\frac{1}{h^{5/2}}\left(\int_{-\infty}^{\infty}(\Delta_x^hL_t^x)^4\,\operatorname{d}x-24h\int_{-\infty}^{\infty}(\Delta_x^hL_t^x)^2L_t^x\,\operatorname{d}x+48h^2\int_{-\infty}^{\infty}(L_t^x)^2\,\operatorname{d}x-\int_{-\infty}^{\infty}(\Delta_x^hL_t^x)L_t^x\,\operatorname{d}x\right) \xrightarrow{d} \sqrt{\frac{2^{9}4!}{5}\int_{-\infty}^{\infty}(L_t^x)^4\,\operatorname{d}x}\,Z.

This extends the established central limit theorems for lower powers of Brownian local-time increments; the source explains that Rosen's method-of-moments proof for the third power does not extend to powers higher than three, so the displayed fourth-power limit remains conjectural.

Sources & referencesView supporting material

Primary source

Simon Campese, “A limit theorem for moments in space of the increments of Brownian local time”, arXiv:1506.07358 (2015).

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