Large deviations and Strassen's limit points of Brownian local time processes

DOI10.1016/S0167-7152(96)00206-4MaRDI QIDQ1365174zbMATH OpenFDO

Authors Bin Chen

Publication date 28 August 1997

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

Full work available at URL https://doi.org/10.1016/S0167-7152(96)00206-4

zbMATH Keywords

Brownian motionlarge deviationslocal time processesStrassen's limit points

Mathematics Subject Classification ID

Large deviations (60F10) Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

Let \(L(x)\) denote the local time process of a standard Brownian motion \(W\) at the point \(x\in{\mathfrak R}\) and put \(L^*= \sup\{L(x), x\in{\mathfrak R}\}\). It is shown that the probability measures induced by \(L(x)\) and \(L^*\) satisfy generalizations of Schilder's large deviation theorem for \(W\), respectively. Based upon this a certain version of Strassen's functional law of the iterated logarithm is proved for a moving average of Brownian local time. Other applications of the large deviation results are local versions of Strassen's law for Brownian local times.

Recommendations

• On the properties for increments of a local time -- a look through the set of limit points
• Large and moderate deviations for intersection local times
• Limit laws for local times of the Brownian sheet
• Some asymptotic results related to the law of iterated logarithm for Brownian motion

Cites work

• A function space large deviation principle for certain stochastic integrals
• An inversion of Strassen's law of the iterated logarithm for small time
• An iterated logarithm law for local time
• How big are the increments of the local time of a Wiener process?
• scientific article; zbMATH DE number 3826891 (Why is no real title available?)
• scientific article; zbMATH DE number 3052578 (Why is no real title available?)
• Large deviations for the maximum local time of stable Lévy processes
• Laws of the iterated logarithm for the local times of symmetric Lévy processes and recurrent random walks
• On laws of the iterated logarithm for local times
• Some Asymptotic Formulas for Wiener Integrals

Cited in

(6)

• Large deviations for Brownian motion on the Sierpiński gasket
• Large deviation principle for additive functionals of Brownian motion corresponding to Kato measures
• Limit laws for local times of the Brownian sheet
• A large deviations principle related to the strong arc-sine law
• Some asymptotic results related to the law of iterated logarithm for Brownian motion
• scientific article; zbMATH DE number 52983 (Why is no real title available?)

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