Analysis and Probability Seminar-September 27, 2016

Tuesday, September 27, 2016 (3:00 p.m. in Yost 306)

Title: Occupation times of discrete-time fractional Brownian motion

Speaker: Manfred Denker (Professor, Mathematics Department, Penn State University)

Abstract: For discrete-time fractional Brownian motion with Hurst parameter greater than 1/4 I will prove a conditional local limit theorem and show how this theorem together with infinite ergodic theory can be used to investigate the occupation times of the process. The distribution will be shown to follow a mixed Mittag-Leffler distribution, clarifying and extending a result of Kasahara and Matsumoto from 1996. This is based on joint work with X. Zheng.

Leave a Reply

Your email address will not be published. Required fields are marked *