Representation of local times of fractional Brownian motion

DOI10.1016/j.spl.2017.07.018zbMath1377.60053OpenAlexW2743144792MaRDI QIDQ2406797

Safari Mukeru

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.07.018

zbMATH Keywords

fractional Brownian motionlocal timesquadratic variations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Related Items (2)

On local times of Martin-Löf random Brownian motion ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm

Cites Work

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• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Local independence of fractional Brownian motion
• Tanaka formula for the fractional Brownian motion.
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion

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