A note on the local time of fractional Brownian motion
type: Item
instance of: scholarly article
title: A note on the local time of fractional Brownian motion
zbMATH Open document ID: 0921.60068
DOI: 10.1023/A:1021756929498
author: Yuji Kasahara
author: Namiko Ogawa
published in: Journal of Theoretical Probability
publication date: 1999-04-13T00:00:00Z
review text: The paper investigates the asymptotic behaviour of the local time at the origin of a \(q\)-dimensional fractional Brownian motion, when its index \(\gamma\) approaches the critical value \(1/q\). The main result of the article is a singular limit theorem proving that, under a suitable (temporally inhomogeneous) normalization, the considered local time of fractional Brownian motion converges in law to the inverse of an extremal process which appears in the extreme value theory.
reviewed by: Neculai Curteanu
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 1275654
zbMATH Keywords: local time at the origin
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: singular limit theorem
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1275654