A note on the local time of fractional Brownian motion

DOI10.1023/A:1021756929498MaRDI QIDQ1283446zbMATH OpenFDO

Authors Yuji Kasahara, Namiko Ogawa

Publication date 13 April 1999

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1021756929498

zbMATH Keywords

fractional Brownian motionlocal time at the originsingular limit theorem

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

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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Cited in

(11)

• Representation of local times of fractional Brownian motion
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
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• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
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• Inverse local times of fractional Brownian motion
• Local independence of fractional Brownian motion
• Hölder conditions for the local times of multiscale fractional Brownian motion

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