A limit theorem for occupation times of Lamperti’s stochastic processes
Kasahara, Yuji ; Suzuki, Sakurako
Proc. Japan Acad. Ser. A Math. Sci., Tome 84 (2008) no. 1, p. 15-18 / Harvested from Project Euclid
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The arcsine law for random walks on the line is well known and it was extended greatly by Lamperti for a class of discrete-time stochastic processes. In the present paper we treat its extreme case where the excursion intervals have very heavy tail probabilities. The result is a refinement of Lamperti’s theorem. A functional limit theorem is also discussed.
Publié le : 2008-01-15
Classification:  occupation times,  extremal process,  arcsine law,  slowly varying function,  60J55,  60G50,  60G70 
@article{1201186680,
     author = {Kasahara, Yuji and Suzuki, Sakurako},
     title = {A limit theorem for occupation times of Lamperti's stochastic processes},
     journal = {Proc. Japan Acad. Ser. A Math. Sci.},
     volume = {84},
     number = {1},
     year = {2008},
     pages = { 15-18},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1201186680}
}

Kasahara, Yuji; Suzuki, Sakurako. A limit theorem for occupation times of Lamperti’s stochastic processes. Proc. Japan Acad. Ser. A Math. Sci., Tome 84 (2008) no. 1, pp.  15-18. http://gdmltest.u-ga.fr/item/1201186680/