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Occupation times of discrete-time fractional Brownian motion

Published 1 Feb 2017 in math.PR | (1702.00427v1)

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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Authors (2)

  1. Manfred Denker 
  2. Xiaofei Zheng 

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