Occupation times of discrete-time fractional Brownian motion

被引：1

作者：

Denker, Manfred ^{[1
]}

Zheng, Xiaofei ^{[1
]}

机构：

[1] Penn State Univ, Dept Math, State Coll, PA 16802 USA

来源：

STOCHASTICS AND DYNAMICS | 2019年 / 19卷 / 01期

关键词：

Fractional Brownian motion; increment process; local time; Mittag-Leffler distribution; pointwise dual ergodicity; conditional local limit theorem;

D O I：

10.1142/S0219493719500096

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove a conditional local limit theorem for discrete-time fractional Brownian motions (dfBm) with Hurst parameter 3/4 < H < 1. Using results from infinite ergodic theory, it is then shown that the properly scaled occupation time of dfBm converges to a Mittag-Leffler distribution.

引用

页数：17

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