The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals (Q1056986)

The authors investigate a class of self-similar processes with similarity parameter \(1/2<H<1\), each of which admits representation \[ X(t)=\int...\int_{R^ m}Q_ t(u_ 1,...,u_ m)dB(u_ 1)...dB(u_ m), \quad t>0, \] where the right side is m-ple Wiener integral with respect to the standard Brownian motion B on R, and \(Q_ t\in L^ 2(R^ m)\) is of the form \(Q_ t(u_ 1,...,u_ m)=\int^{t}_{0}q(v-u_ 1,...,v-u_ m)dv\) with symmetric function q satisfying \[ q(cu_ 1,..,cu_ m)=c^{-\lambda}q(u_ 1,...,u_ m),\quad c>0,\quad \lambda =(m/2)+1-H, \] and \[ \int...\int_{R^ m}| q(u_ 1,...,u_ m)q(u_ 1+1,...u_ m+1) | du_ 1...du_ m<\infty. \] This class includes processes which arise as limit processes in the so-called non-central limit theorem. It is shown that with probability one the sequence \(\{X_ n\}\), where \(X_ n(t)=X(nt)/\{n^ H(2\log \log n)^{m/2}\},\) \(t\in [0,1]\), is relatively compact in \(C[0,1]\) and the set of its limit points is the set of all functions \(y\) having the representation \[ y(t)=\int...\int_{R^ m}Q_ t(u_ 1,...,u_ m)\xi (u_ 1)...\xi (u_ m)du_ 1...du_ m,\quad 0\leq t\leq 1, \] with \(\xi\) such that \(\int^{\infty}_{-\infty} \xi(u)^ 2du\leq 1\). The proof depends on an integration by parts formula for multiple Wiener integrals.