Second-order limit laws for occupation times of fractional Brownian motion

DOI10.1017/jpr.2017.10zbMath1400.60038arXiv1310.3649OpenAlexW2963422519MaRDI QIDQ4684864

No author found.

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3649

zbMATH Keywords

fractional Brownian motionmethod of momentsshort-range dependencelimit law

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Related Items (4)

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case ⋮ A limit law for functionals of multiple independent fractional Brownian motions ⋮ Limit theorems for functionals of two independent Gaussian processes ⋮ Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes

Cites Work

• Unnamed Item
• Central limit theorem for an additive functional of the fractional Brownian motion. II.
• Another limit theorem for slowly increasing occupation times
• A limit theorem for slowly increasing occupation times
• A limit theorem for occupation times of fractional Brownian motion
• Central limit theorem for an additive functional of the fractional Brownian motion
• A second order limit law for occupation times of the Cauchy process
• On limit processes for a class of additive functional of recurrent diffusion processes
• Ergodic Property of the Brownian Motion Process

This page was built for publication: Second-order limit laws for occupation times of fractional Brownian motion