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

DOI10.3792/pjaa.84.15zbMath1138.60333MaRDI QIDQ2482947

Sakurako Suzuki, Yuji Kasahara

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

arcsine law; slowly varying function; occupation times; extremal process

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

60F17: Functional limit theorems; invariance principles

60J55: Local time and additive functionals

Cites Work

• Occupation time theorems for one-dimensional random walks and diffusion processes in random environments
• A limit theorem for sums of i.i.d. random variables with slowly varying tail probability
• 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
• On limit processes for a class of additive functional of recurrent diffusion processes
• An Occupation Time Theorem for A Class of Stochastic Processes
• Weak convergence of probability measures and random functions in the function space D[0,∞)
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