A limit theorem for occupation times of Lamperti's stochastic processes

DOI10.3792/PJAA.84.15MaRDI QIDQ2482947zbMATH OpenOpenAlexFDO

Authors Yuji Kasahara, Sakurako Suzuki

Publication date 30 April 2008

Published in Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.pja/1201186680

zbMATH Keywords

occupation timesextremal processslowly varying functionarcsine law

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

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Cites work

• scientific article; zbMATH DE number 5074024 (Why is no real title available?)
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• A limit theorem for sums of i.i.d. random variables with slowly varying tail probability
• An Occupation Time Theorem for A Class of Stochastic Processes
• Functional limit theorems for occupation times of Lamperti's stochastic processes in discrete time
• Occupation time theorems for a class of one-dimensional diffusion processes
• Occupation time theorems for one-dimensional random walks and diffusion processes in random environments
• On limit processes for a class of additive functional of recurrent diffusion processes
• Weak convergence of probability measures and random functions in the function space D[0,∞)

Cited in

(7)

• Rate of escape and central limit theorem for the supercritical Lamperti problem
• Occupation time distributions for the telegraph process
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Upper bound on the occupation time in the simple exclusion process
• On the Maxima of Random Walks and Stable Processes and the Arc-Sine Law
• A second order limit law for occupation times of the Cauchy process
• Functional limit theorems for occupation times of Lamperti's stochastic processes in discrete time

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