多分数布朗运动的占用时间问题

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY

Probability and Mathematical Statistics-Poland Pub Date : 2019-06-10 DOI:10.19195/0208-4147.39.1.7

Mohamed Ait Ouahra, Raby Guerbaz, H. Ouahhabi, A. Sghir

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引用次数: 0

摘要

本文利用傅里叶分析方法，研究了多分数阶布朗运动局部时的分数阶导数的样本路径性质。我们还证明了这些加性泛函满足局部渐近自相似的性质。由此导出了连续函数空间中多分数布朗运动占用时间的局部极限定理。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Occupation time problem for multifractional Brownian motion

In this paper, by using a Fourier analytic approach, we investigate sample path properties of the fractional derivatives of multifractional Brownian motion local times. We also show that those additive functionals satisfy a property of local asymptotic self-similarity. As a consequence, we derive some local limit theorems for the occupation time of multifractional Brownian motion in the space of continuous functions.

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来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.