A limit theorem for local time and application to random sets

Diffalah Laissaoui and Abdelatif Benchérif-Madani

Statistics & Probability Letters, 2014, vol. 88, issue C, 107-117

Abstract: For a broad class of Markov processes, we give a new intrinsic limit theorem for local time at a point x0. We suitably normalize the number of dyadic time boxes where the process passes through x0 before t>0. We discuss the relation with other normalizations. We apply this result to the theory of random sets using tools from fractal theory. Our construction of the local time is well suited to Monte-Carlo simulations.

Keywords: Markov process; Local time; Subordinator; Regenerative set; Monte-Carlo (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715214000364
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:88:y:2014:i:c:p:107-117

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2014.01.025

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().