Occupation times of discrete-time fractional Brownian motion

Manfred Denker, Xiaofei Zheng

Research output: Contribution to journalArticlepeer-review

Abstract

We prove a conditional local limit theorem for discrete-time fractional Brownian motions (dfBm) with Hurst parameter 3 4 < H < 1. Using results from infinite ergodic theory, it is then shown that the properly scaled occupation time of dfBm converges to a Mittag-Leffler distribution.

Original languageEnglish (US)
Article number1950009
JournalStochastics and Dynamics
Volume19
Issue number1
DOIs
StatePublished - Feb 1 2019

All Science Journal Classification (ASJC) codes

  • Modeling and Simulation

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