Occupation time problem for multifractional Brownian motion

DOI10.19195/0208-4147.39.1.7zbMATH Open1486.60065OpenAlexW3011127539MaRDI QIDQ5227570FDOQ5227570

Authors: Mohamed Ait Ouahra, Raby Guerbaz, Hanae Ouahhabi, Aissa Sghir 

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.19195/0208-4147.39.1.7

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zbMATH Keywords

fractional Brownian motionfractional derivativelocal timelimit theoremmultifractional Brownian motionlocal asymptotic self-similarity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55) (L^p)-limit theorems (60F25)

Cites Work

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• Elliptic Gaussian random processes
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• Continuity in law with respect to the Hurst parameter of the local time of the fractional Brownian motion
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Cited In (7)

• Occupation densities for certain processes related to fractional Brownian motion
• Occupation times for critical branching Brownian motions
• Occupation times for Markov-modulated Brownian motion
• Occupation time problems for fractional Brownian motion and some other self-similar processes
• Occupation times of discrete-time fractional Brownian motion
• The moment generating function for occupation measure of additive Brownian motion
• Limit theorems and strong approximation for occupation times problem of sub-fractional Brownian motion in a class of Besov spaces

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