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.
CITATION STYLE
Berzin-Joseph, C., León, J. R., & Ortega, J. (2001). Non-linear functionals of the Brownian bridge and some applications. Stochastic Processes and Their Applications, 92(1), 11–30. https://doi.org/10.1016/S0304-4149(00)00068-5
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