Law of the iterated logarithm for Lévy's area process composed with Brownian motion
Details
Serval ID
serval:BIB_8434
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Law of the iterated logarithm for Lévy's area process composed with Brownian motion
Journal
Statistics and Probability Letters
ISSN
0167-7152
Publication state
Published
Issued date
1998
Peer-reviewed
Oui
Volume
40
Number
4
Pages
371-377
Language
english
Abstract
Let {A(t)}(-infinity<t<infinity) be Levy's stochastic area process and assume {W(t)}(t greater than or equal to 0) is an independent Brownian motion. Then we prove the following local law of the iterated logarithm for the composed process {A(W(t))}(t greater than or equal to 0):
limsup(t-0) A(W(t))/t(1/2)(log log(1/t))(3/2) = (2/3)(3/2)/pi.
limsup(t-0) A(W(t))/t(1/2)(log log(1/t))(3/2) = (2/3)(3/2)/pi.
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Create date
19/11/2007 10:37
Last modification date
20/08/2019 14:43
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