Limit laws for occupation times of stable processes
David Nualart, Fangjun Xu
TL;DR
This paper establishes two limit laws for occupation times of one-dimensional symmetric 1-stable processes using the method of moments, providing insights into their asymptotic behavior.
Contribution
It introduces new limit laws for occupation times of stable processes and applies the method of moments for their proof.
Findings
Two limit laws for occupation times are proven.
The method of moments is effectively used for stable processes.
Remarks on Rosen's related work are included.
Abstract
We prove two limit laws for functionals of one dimensional symmetric 1-stable process using the method of moments, and give a remark on Rosen's paper \cite{Rosen}.
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Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications · Markov Chains and Monte Carlo Methods