Lower limits of iterated Wiener processes

DOI10.1016/0167-7152(94)00123-PMaRDI QIDQ1892959zbMATH OpenOpenAlexWikidataFDO

Authors Zhan Shi

Publication date 31 October 1995

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)00123-p

zbMATH Keywords

iterated Wiener processLévy's lower class

Mathematics Subject Classification ID

Strong limit theorems (60F15) Sample path properties (60G17) Diffusion processes (60J60)

Review text

Let \(W\) and \(\widehat W\) be two independent Wiener processes with \(W(0) = \widehat W(0) = 0\) and let \(X^*_ t = \sup_{0 \leq u \leq t} | W (\widehat W_ u) |\) and \(Y^*_ t=\sup_{0\leq u\leq t}| W(|\widehat W_ u|)|\). Integral tests for \(P(X^*_ t < t^{1/4}/f(t)\), i.o.) = 0 or 1 and \(P(Y^*_ t < t^{1/4}/f(t)\), i.o.) = 0 or 1 are given.

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Cited in

(12)

• On the occupation time of an iterated process having no local time
• On the logarithmic average of iterated processes
• A linearized Kuramoto-Sivashinsky PDE via an imaginary-Brownian-time-Brownian-angle process
• Stochastic calculus for Brownian motion on a Brownian fracture
• On the asymptotics of supremum distribution for some iterated processes
• Iterated Brownian motion in an open set.
• The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion
• Iterated Brownian motion and stable \((1/4)\) subordinator
• The local time of iterated Brownian motion
• The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion
• On Chung's law of the iterated logarithm for the Brownian time Lévy's area process
• The fractal dimensions of the level sets of the generalized iterated Brownian motion

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