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Journal of Theoretical Probability

, Volume 20, Issue 2, pp 133–152 | Cite as

Continuity in Law with Respect to the Hurst Parameter of the Local Time of the Fractional Brownian Motion

  • Maria Jolis
  • Noèlia Viles
Article

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 \(B^{H_0}\), when H tends to H 0.

Keywords

Convergence in law fractional Brownian motion local time 

2000 Mathematics Subject Classification

60B12 60J55 60G15 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Departament de MatemàtiquesUniversitat Autònoma de BarcelonaBellaterra, BarcelonaSpain

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