Strassen's law of the iterated logarithm for diffusion processes for small time (Q1805740): Difference between revisions
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Property / cites work: Ecole d'ete de probabilités de Saint-Flour VIII-1978. Edite par P. L. Hennequin / rank | |||
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Property / cites work: Large deviations and functional iterated logarithm law for diffusion processes / rank | |||
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Property / cites work: Q3784932 / rank | |||
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Property / cites work: Étude de processus généralisant l'aire de Lévy / rank | |||
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Latest revision as of 10:17, 29 May 2024
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English | Strassen's law of the iterated logarithm for diffusion processes for small time |
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Strassen's law of the iterated logarithm for diffusion processes for small time (English)
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18 November 1999
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The paper studies a functional form of the law of the iterated logarithm [see \textit{V. Strassen}, Z. Wahrscheinlichkeitstheorie Verw. Geb. 3, 211-226 (1964; Zbl 0132.12903)], which has been extended to diffusion processes by \textit{P. Baldi} [Probab. Theory Relat. Fields 71, 435-453 (1986; Zbl 0587.60074)] for large values of parameter. The author extends this result for small values of parameter in the following sense. Let us consider a diffusion process \(Y\) starting from \(x\) and let \(\{\Gamma_\alpha\}_{\alpha <0}\) be a suitable family of contractions with fixed point \(x\) for every \(\alpha >0\). For \(t\in [0,1]\) and \(u\leq e^{-1}\) denote \(Z_u(t)=\Gamma_{\sqrt {u\;log\;log\;u^{-1}}}(Y_{ut})\). The author proves that the family \(\{Z_u\}\) is relatively compact for \(u\to 0^+\) and determines its limit set \(C\). For the Brownian motion a similar result can be obtained by time reversal, a technique which is not easy to reproduce for diffusion processes. A number of applications and examples are discussed.
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law of the iterated logarithm
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diffusion process
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time reversal
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Brownian motion
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