A note on the local time of fractional Brownian motion (Q1283446): Difference between revisions
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Latest revision as of 02:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the local time of fractional Brownian motion |
scientific article |
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A note on the local time of fractional Brownian motion (English)
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13 April 1999
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The paper investigates the asymptotic behaviour of the local time at the origin of a \(q\)-dimensional fractional Brownian motion, when its index \(\gamma\) approaches the critical value \(1/q\). The main result of the article is a singular limit theorem proving that, under a suitable (temporally inhomogeneous) normalization, the considered local time of fractional Brownian motion converges in law to the inverse of an extremal process which appears in the extreme value theory.
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local time at the origin
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fractional Brownian motion
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singular limit theorem
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