Limit theorems for the square integral of Brownian motion and its increments (Q1198596): Difference between revisions
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Revision as of 23:21, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theorems for the square integral of Brownian motion and its increments |
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Limit theorems for the square integral of Brownian motion and its increments (English)
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16 January 1993
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The strong laws of the iterated logarithm are proved for the integrals \[ \int^{b(T)}_{a(T)}W^ 2(t)dt, \qquad\int^{T-\alpha T}_ 0| W(t+\alpha T)-W(t)|^ 2dt \] as \(T\to\infty\), where \(1/2\leq\alpha<1\), \(W(t)\) is the standard Wiener process, \(a(T)\), \(b(T)\) are some non- decreasing functions tending to infinity. The limiting constants are calculated explicitly as solutions of some trigonometric equations.
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strong laws of the iterated logarithm
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Wiener process
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