Occupation time problem for multifractional Brownian motion

• Autorzy: Ouahra Mohamed Ait , Guerbaz Raby , Ouahhabi Hanae , Sghir Aissa

Identyfikatory

DOI

10.19195/0208-4147.39.1.7

• Języki publikacji: EN

Abstrakty

EN

In this paper, by using a Fourier analytic approach, we investigate sample path properties of the fractional derivatives of multifractional Brownian motion local times. We also show that those additive functionals satisfy a property of local asymptotic self-similarity. As a consequence, we derive some local limit theorems for the occupation time of multifractional Brownian motion in the space of continuous functions.

Słowa kluczowe

EN

local time; local asymptotic self-similarity; limit theorem; fractional Brownian motion; multifractional Brownian motion; fractional derivative

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2019
• Tom: Vol. 39, Fasc. 1
• Strony: 99--113
• Opis fizyczny: Bibliogr. 21 poz.

Twórcy

autor

Ouahra Mohamed Ait

• Laboratoire de Modélisation, Stochastique et Déterministe et URAC (04), Faculté des Sciences Oujda, Maroc

autor

Guerbaz Raby

• Laboratoire MAEGE and Department SMAEG, FSJES Ain Sebaa, Hassan II University of Casablanca, Morocco

autor

Ouahhabi Hanae

• Department of Statistics, College of Business and Economics, United Arab Emirates University

autor

Sghir Aissa

• Laboratoire de Modélisation, Stochastique et Déterministe, Département de Mathématiques, Faculté des Sciences Oujda, Université Mohammed Premier, Maroc

Bibliografia

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