A Note on the Local Time of Fractional Brownian Motion

Journal of Theoretical Probability

Volumn 12, Issue 1, 1999, Pages 207-216

  Kasahara, Yuji ^a   Ogawa, Namiko ^b  

^a OCHANOMIZU UNIVERSITY   (Japan)

^b Juji Research Institute Corporation   (Japan)

Author keywords

Extremal process; Fractional Brownian motion; Gaussian process; Local time

Indexed keywords

EID: 0033417010     PISSN: 08949840     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1021756929498     Document Type: Article

References (7)

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2. Csörgo, M., Lin, Z-Y., and Shao, Q.-M. (1995). On moduli of continuity for local times of Gaussian processes, Stock. Proc. Appl. 58, 1-21.
3. Dwass, M. (1964). Extremal processes, Ann. Math. Stat. 35, 1718-1725.
4. Kasahara, Y. (1982). A limit theorem for slowly increasing occupation times, Ann. Probab. 10, 728-736.
5. Kasahara, Y., and Kosugi, N. (1997). A limit theorem for occupation times of fractional Brownian motion, Stoch. Proc. Appl. 67, 161-175.
6. Kasahara, Y., and Matsumoto, Y. (1996). On Kallianpur-Robbins law for fractional Brownian motion, J. Math. Kyoto Univ. 36, 815-824.
7. Kôno, N. (1996). Kallianpur-Robbins law for fractional Brownian motion, Probability Theory and Mathematical Statistics. Proc. 7th Japan-Russia Symp. Probab. Math. Stat., World Scientific, Singapore, pp. 229-236.