On the large values of the Wiener process

DOI10.1016/0304-4149(87)90004-4MaRDI QIDQ1096246zbMATH OpenOpenAlexFDO

Authors Karl Grill, Endre Csáki

Publication date 1987

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90004-4

zbMATH Keywords

law of iterated logarithmpartial sum processSkorohod's embedding scheme

Mathematics Subject Classification ID

Strong limit theorems (60F15) Sample path properties (60G17) Brownian motion (60J65)

Review text

Let \(\{W(t),t\geq 0\}\) be a standard Wiener process and define \(M^+(t)=\max \{W(u):\) \(u\leq t\}\), \(M^-(t)=\max \{-W(u):\) \(u\leq t\}\) and \(Z(t)=\max \{u\leq t:\) \(W(u)=0\}\). The authors investigate the a.s. asymptotic behaviour of Z(t) and \(M^-(t)\) under the condition that \(M^+(t)\) gets very large, i.e. as large as indicated by the law of iterated logarithm. By using Skorohod's embedding scheme, the similar conclusions are given.

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(9)

• On the maximum of a Wiener process and its location
• Large favourite sites of simple random walk and the Wiener process
• Time difference on the Brownian curve
• Random walks on comb-type subsets of \(\mathbb{Z}^2\)
• Extremes of Shepp statistics for the Wiener process
• scientific article; zbMATH DE number 3862139 (Why is no real title available?)
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