A limit theorem for occupation times of fractional Brownian motion (Q1382533): Difference between revisions

Let \(X^{\gamma ,d}\) be a \(d\)-dimensional fractional Brownian motion where \(0<\gamma <1\),\(\;\gamma d=1\) and let \(f\geq 0\) be a bounded integrable function on \(R^d\) such that \(\bar f :=\int _{R^d}f(x)dx \neq 0\). Then \[ \frac {1}{\lambda } \int _0^{e^{\lambda t}}f(X^{\gamma ,d}(u))du \to CZ(t) \] as \(\lambda \to \infty \) where \(C=(2\pi )^{-d/2}\), \(Z\) is the inverse of a canonical extremal process and ``\(\to\)'' denotes the weak convergence of finite-dimensional distributions.