A limit theorem for occupation times of fractional Brownian motion

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:67

Article

关键词: fractional Brownian motion;    extremal process;    exponential distribution;    occupation times;   

DOI  :  10.1016/S0304-4149(96)00010-5

来源: Elsevier

【 摘 要 】

Recently, N. Kono 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 Kono's result. It is proved that, under a suitable normalization, the limiting process is the inverse of an extremal process.

【 授权许可】

Free