Exact rates of convergence of functional limit theorems for Csörgő-Révész increments of a Wiener process. (Q1565990): Difference between revisions

Let \(W(t)\), \(t\geq 0\), be the standard Wiener process and \[ Y_{t,T}(x)= (W(t+ xa_T)- W(t))(2a_T g(T))^{-1/2},\quad x\in [0,1], \] the Csörgő-Révész increment process, where \(g(T)= \log Ta^{-1}_T+ \log\log T\). Consider Strassen set of functions \(S= \{f\in C[0,1]: f(0)= 0\), \(I(f)= \int^1_0 (f'(x))^2\,ds\leq 1\}\). The author investigates exact rates of convergence to \(0\) in the Strassen's law of the iterated logarithm for \(Y_{t,T}\), i.e. for variables \(\sup_{0\leq t\leq T-a_T} \inf_{f\in S}\| Y_{t,T}- f\|_\infty\) and \(V_T(f)= \inf_{0\leq t\leq T-a_T}\| Y_{t,T}- f\|_\infty\) for any fixed \(f\in S\). One of the results says that if \(f\in S\) and \(I(f)<1,\) then \(\liminf_{T\to\infty} V_T(f) g(T)= \pi/4\sqrt{1- I(f)}\) a.s. The case \(I(f)= 1\) is more difficult and only partial solution is obtained. Analogous results for sums of i.i.d. random variables are given as corollaries.