A limit theorem for occupation times of fractional Brownian motion

Y. Kasahara and N. Kosugi

Stochastic Processes and their Applications, 1997, vol. 67, issue 2, 161-175

Abstract: Recently, N. Kôno gave a limit theorem for occupation times of fractional Brownian motion, which result generalizes the well-known Kallianpur-Robbins law for two-dimensional Brownian motion. This paper studies a functional limit theorem for Kôno's result. It is proved that, under a suitable normalization, the limiting process is the inverse of an extremal process.

Keywords: Fractional; Brownian; motion; Extremal; process; Exponential; distribution; Occupation; times (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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