Resum
We give a result of stability in law of the local time of the fractional Brownian motion with respect to small perturbations of the Hurst parameter. Concretely, we prove that the law (in the space of continuous functions) of the local time of the fractional Brownian motion with Hurst parameter H converges weakly to that of the local time of B H0 , when H tends to H 0. © Springer Science+Business Media, LLC 2007.
Idioma original | Anglès |
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Pàgines (de-a) | 133-152 |
Revista | Journal of Theoretical Probability |
Volum | 20 |
DOIs | |
Estat de la publicació | Publicada - 1 de juny 2007 |