Occupation time problem for multifractional Brownian motion

DOI10.19195/0208-4147.39.1.7MaRDI QIDQ5227570zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
• scientific article; zbMATH DE number 1304798 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• A decomposition of additive functionals of finite energy
• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• Continuity in law with respect to the Hurst parameter of the local time of the fractional Brownian motion
• Elliptic Gaussian random processes
• Limit theorems and variation properties for fractional derivatives of the local time of a stable process
• Limit theorems for certain functionals associated to stable processes in a Hölder space
• Limit theorems for local times of fractional Brownian motions and some other self-similar processes
• Local times of multifractional Brownian sheets
• Occupation time problems for fractional Brownian motion and some other self-similar processes
• On some limit theorems for occupation times of one dimensional Brownian motion and its continuous additive functionals locally of zero energy
• On the local time of multifractional Brownian motion
• Sample path properties of the local time of multifractional Brownian motion
• Weak convergence to fractional Brownian motion in some anisotropic Besov space

Cited in

(7)

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

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