Extension of a theorem of Wschebor to free and matrix Brownian motions

Abstract

In 1992, M. Wschebor proved a theorem on the convergence of small increments of the Brownian motion. Since then, it has been extended to various processes. We prove a version of this theorem for the Hermitian Brownian motion and the free Brownian motion. Since these theorems deal with a convergence to a deterministic limit, we prove also the convergence in distribution of the corresponding fluctuations.