A functional modulus of continuity for a Wiener process
Let \((W_t)\), \(0 \leq t\leq 1\), be standard Brownian motion, let \(C_0[0,1]\) be the set of continuous functions \(f\) on the unit interval with \(f(0)=0\), and let \(\|\cdot\|\) denote the sup-norm on \(C_0[0,1]\). Consider the following random subset of functions \(M_{t, h}\) in \(C_0[0,1]\): NEWLINE\[NEWLINE M_{t, h}(x) = {W(t+hx)-W(t)\over 2h \log (1/h)}\leq x \leq 1 , NEWLINE\]NEWLINE where \(h \in (0,1)\) and \(t \in [0, 1-h]\). The authors prove a functional limit law for the set \(\{ M_{t, h}, h \in (0,1), t \in [0, 1-h]\}\). More precisely, let \(S\) denote Strassen's limit class, i.e. the subset of \(C_0[0,1]\) where Schilder's rate function has values less than or equal to \(1/2\). Then, almost surely, NEWLINE\[NEWLINE \lim_{h \to 0} \sup_{0 \leq t \leq 1-h} \inf_{f \in S} \|M_{t, h} - f\|= 0 NEWLINE\]NEWLINE and, for any \(f \in S\), NEWLINE\[NEWLINE \lim_{h \to 0} \inf_{0 \leq t \leq 1-h} \|M_{t, h} - f\|= 0 . NEWLINE\]NEWLINE Of course, this implies Lévy's law for the modulus of continuity, with \`\` limsup\'\'\ in the statements replaced with \`\` lim\'\' . The proof is based on a large deviation principle.\hfil\break The fact that the set \(\{ M_{t, h}, h \in (0,1), t \in [0, 1-h]\}\) is, almost surely, relative compact with limit points \(S\), was obtained also by \textit{C. Mueller} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 56, 163-179 (1981; Zbl 0463.60031)].
- scientific article; zbMATH DE number 979972
- Rates of clustering in Strassen's LIL for Brownian motion
- A lim inf result in Strassen's law of the iterated logarithm
- scientific article; zbMATH DE number 64896
- scientific article; zbMATH DE number 804053
- Fractales aléatoires de type Chung pour les accroissements du processus de Wiener
- On the functional form of L�vy's modulus of continuity for Brownian motion
- scientific article; zbMATH DE number 1959480
- An invariance principle for the law of the iterated logarithm
- An inversion of Strassen's law of the iterated logarithm for small time
- scientific article; zbMATH DE number 3858075 (Why is no real title available?)
- scientific article; zbMATH DE number 3052578 (Why is no real title available?)
- Some Asymptotic Formulas for Wiener Integrals
- Functional limit theorems for the increments of \(d\)-dimensional Gaussian processes in a Hölder type norm
- A refined large deviation principle for Brownian motion and its application to boundary crossing
- On the sample paths of diagonal Brownian motions on the infinite dimensional torus
- Functional limit theorems for the increments of Gaussian samples
- The Strassen law of the iterated logarithm in Banach function spaces
- On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
- Large deviation estimates and functional law for diffusions in modulus spaces
- On the uniform modulus of continuity for samle paths of the N-parameter Wiener process
- Infinite dimensional Ornstein-Uhlenbeck processes with unbounded diffusion -- approximation, quadratic variation, and Itô formula
- Differentiability of Expectations of Functionals of a Wiener Process
- scientific article; zbMATH DE number 4009440 (Why is no real title available?)
- scientific article; zbMATH DE number 15792 (Why is no real title available?)
- scientific article; zbMATH DE number 64896 (Why is no real title available?)
- scientific article; zbMATH DE number 4124766 (Why is no real title available?)
- Local continuity modulus for wiener and infinite dimensional OU processes
- scientific article; zbMATH DE number 1494203 (Why is no real title available?)
- scientific article; zbMATH DE number 1536369 (Why is no real title available?)
- Generalized covariation for Banach space valued processes, Itō formula and applications
- scientific article; zbMATH DE number 4001101 (Why is no real title available?)
- scientific article; zbMATH DE number 1880709 (Why is no real title available?)
- A joint functional law for the Wiener process and principal value
- scientific article; zbMATH DE number 2115824 (Why is no real title available?)
- Random Mappings and a Generalized Additive Functional of a Wiener Process
- Rates of clustering in Strassen's LIL for Brownian motion
- A functional modulus of continuity for Brownian motion
This page was built for publication: A functional modulus of continuity for a Wiener process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5934103)
