The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes

DOI10.1016/J.SPA.2008.11.006MaRDI QIDQ2389232zbMATH OpenOpenAlexFDO

Authors Dasha Loukianova, E. Löcherbach

Publication date 15 July 2009

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

Full work available at URL https://doi.org/10.1016/j.spa.2008.11.006

zbMATH Keywords

additive functionalslaw of iterated logarithmHarris recurrencecontinuous time Markov processesNummelin splitting

Mathematics Subject Classification ID

Diffusion processes (60J60) Strong limit theorems (60F15) Transition functions, generators and resolvents (60J35) Local time and additive functionals (60J55)

Cites work

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• On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
• On a problem of statistical inference in null recurrent diffusions
• On the limit laws of the second order for additive functionals of Harris recurrent Markov chains
• Strong approximations of additive functionals of a planar Brownian motion.
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales
• The functional law of the iterated logarithm for stationary strongly mixing sequences
• The law of the iterated logarithm for functionals of Harris recurrent Markov chains: Self normalization

Cited in

(9)

• Nonparametric nonstationarity tests
• Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
• On the functional estimation of multivariate diffusion processes
• The law of the iterated logarithm for functionals of Harris recurrent Markov chains: Self normalization
• The (functional) law of the iterated logarithm of the sojourn time for a multiclass queue
• Strong invariance principles for ergodic Markov processes
• Addendum to: An iterated logarithm law for families of Brownian paths
• Infinite server queues in a random fast oscillatory environment
• The law of the iterated logarithm for additive functionals of Markov chains

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