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arXiv · 1310.3649

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

Fangjun Xu
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Abstract

We prove second order limit laws for (additive) functionals of the $d$-dimensional fractional Brownian motion with Hurst index $H=\frac{1}{d}$, using the method of moments, extending the Kallianpur-Robbins law.

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Fangjun Xu. 2013-10-14. Second order limit laws for occupation times of the fractional Brownian motion. https://arxiv.org/abs/1310.3649

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