Generalized grey Brownian motion local time: existence and weak approximation

DOI10.1080/17442508.2014.945451zbMATH Open1321.60160arXiv1306.3956OpenAlexW3099639079WikidataQ57822000 ScholiaQ57822000MaRDI QIDQ5265789FDOQ5265789

José L. Silva, M. Erraoui

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we investigate the class of grey Brownian motions $$ ($0<alpha<2$, $$). We show that grey Brownian motion admits different representations in terms of certain known processes, such as fractional Brownian motion, multivariate elliptical distribution or as a subordination. The weak convergence of the increments of $$ in $t$, $w$-variables are studied. Using the Berman criterium we show that $$ admits a $lambda$-square integrable local time $$ almost surely ($lambda$ Lebesgue measure). Moreover, we prove that this local time can be weak-approximated by the number of crossings $$, of level $x$, of the convolution approximation $$ of grey Brownian motion.

Full work available at URL: https://arxiv.org/abs/1306.3956

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zbMATH Keywords

fractional Brownian motionlocal timealmost sure weak convergencenumber of crossingsgeneralized grey Brownian motion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Brownian motion (60J65) Strong limit theorems (60F15) Local time and additive functionals (60J55)

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Cited In (7)

• Mittag-Leffler analysis. II: Application to the fractional heat equation.
• A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
• Generalized Fokker-Planck equation for superstatistical systems
• On generalized local time for the process of Brownian motion
• Local times for grey Brownian motion
• Cameron–Martin type theorem for a class of non-Gaussian measures
• Numerical scheme for Erdélyi-Kober fractional diffusion equation using Galerkin-Hermite method

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