Browse by: Author name - Classification - Keywords - Nature

6 matches found
XXV: 33, 407-424, LNM 1485 (1991)
ROSEN, Jay S.
Second order limit laws for the local times of stable processes (Limit theorems)
Using the method of moments, a central limit theorem is established for the increments $L^x_t-L^0_t$ of the local times of a symmetric $\beta$-stable process ($\beta>1$). The limit law is that of a fractional Brownian sheet, with Hurst index $\beta-1$, time-changed via $L_t^0$ in its time variable
Comment: Another proof due to Eisenbaum 3120 uses Dynkin's isomorphism. Ray-Knight theorems for these local times can be found in Eisenbaum-Kaspi-Marcus-Rosen-Shi Ann. Prob. 28 (2000). A good reference on this subject is Marcus-Rosen, Markov Processes, Gaussian Processes, and Local Times, Cambridge University Press (2006)
Keywords: Local times, Stable processes, Method of moments, Fractional Brownian motion, Brownian sheet
Nature: Original
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XXIX: 26, 266-289, LNM 1613 (1995)
EISENBAUM, Nathalie
Une version sans conditionnement du théorème d'isomorphisme de Dynkin (Limit theorems)
After establishing an unconditional version of Dynkin's isomorphism theorem, the author applies this theorem to give a new proof of Ray-Knight theorems for Brownian local times, and also to give another proof to limit theorems due to Rosen 2533 concerning the increments of the local times of a symmetric $\beta$-stable process for $\beta>1$. Some results by Marcus-Rosen (Proc. Conf. Probability in Banach Spaces~8, Birkhäuser 1992) on Laplace transforms of the increments of local time are extended
Comment: A general reference on the subject is Marcus-Rosen, Markov Processes, Gaussian Processes, and Local Times, Cambridge University Press (2006)
Keywords: Stable processes, Local times, Central limit theorem, Dynkin isomorphism, Fractional Brownian motion, Brownian sheet
Nature: Original
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XXXI: 20, 216-224, LNM 1655 (1997)
EISENBAUM, Nathalie
Théorèmes limites pour les temps locaux d'un processus stable symétrique (Limit theorems)
Using Dynkin's isomorphism, a central-limit type theorem is derived for the local times of a stable symmetric process of index $\beta$ at a finite number $n$ of levels. The limiting process is expressed in terms of a fractional, $n$-dimensional Brownian sheet with Hurst index $\beta-1$. The case when $n=1$ is due to Rosen 2533, and, for Brownian local times, to Yor 1709
Comment: This kind of result is now understood as a weak form of theorems à la Ray-Knight, describing the local times of a stable symmetric process: see Eisenbaum-Kaspi-Marcus-Rosen-Shi Ann. Prob. 28 (2000) for a Ray-Knight theorem involving fractional Brownian motion. Marcus-Rosen, Markov Processes, Gaussian Processes, and Local Times, Cambridge University Press (2006) is a general reference on the subject
Keywords: Stable processes, Local times, Central limit theorem, Dynkin isomorphism, Fractional Brownian motion, Brownian sheet
Nature: Original
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XLIII: 01, 3-70, LNM 2006 (2011)
PICARD, Jean
Representation formulae for the fractional Brownian motion (Theory of fractional Brownian motion)
Keywords: Fractional Brownian motion, Brownian motion
Nature: Original, Survey
XLIII: 08, 215-219, LNM 2006 (2011)
PRATELLI, Maurizio
A Remark on the $1/H$-variation of the Fractional Brownian Motion (Theory of fractional Brownian motion)
Keywords: Fractional Brownian motion, $p$-variation, Ergodic theorem
Nature: Exposition
XLIII: 09, 221-239, LNM 2006 (2011)
MAROUBY, Matthieu
Simulation of a Local Time Fractional Stable Motion (Theory of fractional Brownian motion, Theory of stable processes)
Keywords: Stable processes, Self-similar processes, Shot noise series, Local times, Fractional Brownian motion, Simulation
Nature: Original