A Note on the Local Time of Fractional Brownian Motion

Yuji Kasahara () and Namiko Ogawa
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Yuji Kasahara: Ochanomizu University
Namiko Ogawa: Juji Research Institute Corporation

Journal of Theoretical Probability, 1999, vol. 12, issue 1, 207-216

Abstract: Abstract Asymptotic behavior of the local time at the origin of q-dimensional fractional Brownian motion is considered when the index γ approaches the critical value 1/q. It is proved that, under a suitable (temporally inhomogeneous) normalization, it converges in law to the inverse of an extremal process which appears in the extreme value theory.

Keywords: Fractional Brownian motion; local time; extremal process; Gaussian process (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1021756929498

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