Weak convergence of the scaled median of independent Brownian motions

We consider the median of n independent Brownian motions, denoted by M-n(t), and show that root n M-n, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct estimates on the increments of the median process. An explicit formula is given for the covariance function of the limit process. The limit process is also shown to be Holder continuous with exponent gamma for all gamma < 1/4.