Occupation times of discrete-time fractional Brownian motion

Manfred Denker; Xiaofei Zheng

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arXiv · 1702.00427

Occupation times of discrete-time fractional Brownian motion

Manfred Denker·Xiaofei Zheng

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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.

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Manfred Denker, Xiaofei Zheng. 2017-02-01. Occupation times of discrete-time fractional Brownian motion. https://arxiv.org/abs/1702.00427

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