A generalization of strassen's functional LIL (Q2471131): Difference between revisions

Let \(X_1,X_2,\dots\) be a sequence of i.i.d. centered random variables, \(S_n = X_1+\ldots+X_n\) and the corresponding partial sums processes \(S_{(n)}(t) = S_{[nt]} + (nt-[nt])X_{[nt]+1}\), \(0 \leq t\leq 1\), \(n\in \mathbb{N}\). The author shows that if \(\limsup_{n\to \infty} | S_n| /c_n = \alpha_0<\infty\) for a regular normalizing sequence \(\{c_n\}\) then \(\{S_{(n)}\}\) is relatively compact in \(C[0,1]\) with the Strassen ball as a cluster set. Thus the results by \textit{U. Einmahl} and \textit{D. Li} [Ann. Probab. 33, 1601--1624 (2005; Zbl 1078.60021)] and two-sided version of the Klass LIL [\textit{M. Klass}, Z. Wahrsch. Verw. Geb. 36, 165--176 (1976; Zbl 0319.60019)] can be improved to the functional LIL type assertions. Reviewer's remark: On the first page of the paper the author provides the classical Hartman-Wintner LIL. However this statement (involving if and only if) is the combination of the Hartman--Wintner theorem and one proved by Strassen.