A large deviations principle related to the strong arc-sine law (Q1866066): Difference between revisions

Let \(( B_u , u\geq 0)\) be a standard linear Brownian motion process. The authors prove a large deviations principle in the strong arc-sine law: \[ {1\over {\log T}}{\int_1^T} {\mathbf 1}_{(B_u >0)}{{du}\over u}\rightarrow {1\over 2}\text{ a.s., as }T\rightarrow\infty. \] More precisely, they prove that \[ \lim_{T\rightarrow\infty} {1\over \log T} P[ S_T \geq a] = - J(a)\text{ for } 1/2 \leq a\leq 1, \] and \[ \lim_{T\rightarrow\infty} {1\over \log T} P[ S_T \leq a] = - J(a)\text{ for } 0 \leq a\leq 1/2 ; \] they also identify the good rate function \(J(a).\)