Functional limit theorem for occupation times of Gaussian processes -- non-critical case (Q1282255): Difference between revisions

Let \(\xi(t)\) be a centered Gaussian process with stationary increments, \(\xi(0)= 0\), \(E(\xi(t+ s)- \xi(t))^2= s^{2\gamma}L(s)= \varphi(s)\), where \(L(s)\) is slowly varying at infinity, and \(\varphi(s)\) concave. Consider the \(d\)-dimensional process \(Y(t)= (\xi_1(t),\dots, \xi_d(t))\), \(d\geq 2\), where \(\xi_1,\dots, \xi_d\) are independent copies of \(\xi\). It is proved that if \(0<\gamma d<1\) and \(f\) is a bounded probability density on \(\mathbb{R}^d\), then \(A_s(t)= (\varphi(s))^{d/2} s^{-1} \int^{st}_0 f(Y(u)) du\) converges weakly as \(s\to\infty\) in \(C[0,\infty)\) to the local time of \(d\)-dimensional fractional Brownian motion with index \(\gamma\).