On the increments of Wiener process -- a look through subsequences (Q689183): Difference between revisions

Let \(\bigl\{W(t), t\geq 0\bigr\}\) be a standard Wiener process and let \(Y(t)=W(t+a_ t)-W(t)\) \((0\leq a_ t\leq t,\;t>0)\) be its increment. The behaviour of \(\limsup_{t\to\infty}\beta(t)Y(t)\) (where \(\beta(t)\) is a suitable normalizing factor) is studied in a number of papers. The authors are interested in the lim sup of the subsequence \(\beta(t_ k)Y(t_ k)\) where \(\{t_ k\}\) is an increasing sequence diverging to \(\infty\). Typical results are telling that \(\limsup_{t\to\infty}\beta(t_ k)Y(t_ k)=1\) a.s. if \(t_ k=k^ 2\) and \(a_ t=ct\) \((0<c\leq t)\) and \(\limsup_{t\to\infty}\beta(t_ k)Y(t_ k)=2/3\) if \(t_ k=k^ 2\) and \(a_ t=t^{1/4}\).