Continuity in Law with Respect to the Hurst Parameter of the Local Time of the Fractional Brownian Motion

Maria Jolis () and Noèlia Viles
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Maria Jolis: Universitat Autònoma de Barcelona
Noèlia Viles: Universitat Autònoma de Barcelona

Journal of Theoretical Probability, 2007, vol. 20, issue 2, 133-152

Abstract: We give a result of stability in law of the local time of the fractional Brownian motion with respect to small perturbations of the Hurst parameter. Concretely, we prove that the law (in the space of continuous functions) of the local time of the fractional Brownian motion with Hurst parameter H converges weakly to that of the local time of $$B^{H_0}$$ , when H tends to H 0.

Keywords: Convergence in law; fractional Brownian motion; local time; 60B12; 60J55; 60G15 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-007-0054-5

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