Grey Brownian motion local time: Existence and weak-approximation
Probability
2017-08-23 v1
Abstract
In this paper we investigate the class of grey Brownian motions (, ). We show that grey Brownian motion admits different representations in terms of certain known processes, such as fractional Brownian motion, multivariate elliptical distribution or as a subordination. The weak convergence of the increments of in , -variables are studied. Using the Berman criterium we show that admits a -square integrable local time almost surely ( Lebesgue measure). Moreover, we prove that this local time can be weak-approximated by the number of crossings , of level , of the convolution approximation of grey Brownian motion.
Cite
@article{arxiv.1306.3956,
title = {Grey Brownian motion local time: Existence and weak-approximation},
author = {José Luís Da Silva and Mohamed Erraoui},
journal= {arXiv preprint arXiv:1306.3956},
year = {2017}
}
Comments
20 pages