Title of article :
A limit theorem for occupation times of fractional Brownian motion
Author/Authors :
Kasahara، نويسنده , , Y. and Kosugi، نويسنده , , N.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1997
Pages :
15
From page :
161
To page :
175
Abstract :
Recently, N. Kôno gave a limit theorem for occupation times of fractional Brownian motion, which result generalizes the well-known Kallianpur-Robbins law for two-dimensional Brownian motion. This paper studies a functional limit theorem for Kônoʹs result. It is proved that, under a suitable normalization, the limiting process is the inverse of an extremal process.
Keywords :
Fractional Brownian motion , Exponential distribution , Extremal process , Occupation times
Journal title :
Stochastic Processes and their Applications
Serial Year :
1997
Journal title :
Stochastic Processes and their Applications
Record number :
1576045
Link To Document :
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