Continuity in law with respect to the hurst parameter of the local time of the fractional brownian motion

Maria Jolis, Noèlia Viles

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)133-152
JournalJournal of Theoretical Probability
Volume20
DOIs
Publication statusPublished - 1 Jun 2007

Keywords

  • Convergence in law
  • Fractional Brownian motion
  • Local time

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