Second-order limit laws for occupation times of fractional Brownian motion

Fangjun Xu

doi:10.1017/jpr.2017.10

Second-order limit laws for occupation times of fractional Brownian motion

Fangjun Xu^*

^*此作品的通讯作者

统计学院

科研成果: 期刊稿件 › 文章 › 同行评审

3 引用（Scopus）

摘要

We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1/d, using the method of moments and extending the Kallianpur-Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

源语言	英语
页（从-至）	444-461
页数	18
期刊	Journal of Applied Probability
卷	54
期	2
DOI	https://doi.org/10.1017/jpr.2017.10
出版状态	已出版 - 1 6月 2017

访问文件

10.1017/jpr.2017.10

其它文件与链接

链接到 Scopus 的出版物

引用此

@article{102695fee115418bae8045833269fc39,

title = "Second-order limit laws for occupation times of fractional Brownian motion",

abstract = "We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1/d, using the method of moments and extending the Kallianpur-Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.",

keywords = "Fractional Brownian motion, limit law, method of moments, short-range dependence",

author = "Fangjun Xu",

note = "Publisher Copyright: {\textcopyright} 2017 Applied Probability Trust.",

year = "2017",

month = jun,

day = "1",

doi = "10.1017/jpr.2017.10",

language = "英语",

volume = "54",

pages = "444--461",

journal = "Journal of Applied Probability",

issn = "0021-9002",

publisher = "Cambridge University Press",

number = "2",

}

TY - JOUR

T1 - Second-order limit laws for occupation times of fractional Brownian motion

AU - Xu, Fangjun

PY - 2017/6/1

Y1 - 2017/6/1

N2 - We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1/d, using the method of moments and extending the Kallianpur-Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

AB - We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1/d, using the method of moments and extending the Kallianpur-Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

KW - Fractional Brownian motion

KW - limit law

KW - method of moments

KW - short-range dependence

UR - https://www.scopus.com/pages/publications/85021099216

U2 - 10.1017/jpr.2017.10

DO - 10.1017/jpr.2017.10

M3 - 文章

AN - SCOPUS:85021099216

SN - 0021-9002

VL - 54

SP - 444

EP - 461

JO - Journal of Applied Probability

JF - Journal of Applied Probability

IS - 2

ER -

Second-order limit laws for occupation times of fractional Brownian motion

摘要

访问文件

其它文件与链接

学术指纹

引用此