An extreme-value analysis of the LIL for Brownian motion

DOI10.1214/ECP.V10-1154MaRDI QIDQ2433650zbMATH OpenOpenAlexFDO

Authors D. Khoshnevisan, David A. Levin, Zhan Shi

Publication date 3 November 2006

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0411376, https://eudml.org/doc/127428

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65)

Abstract: We present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. Our result can be viewed as a new improvement to the LIL.

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• Iterated law of iterated logarithm
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• A functional LIL for \(m\)-fold integrated Brownian motion
• Quasi sure local Strassen's law of the iterated logarithm for increments of a Brownian motion

Cited in

(5)

• A general Darling-Erdős theorem in Euclidean space
• Lower bounds for the distribution of suprema of Brownian increments and Brownian motion normalized by the corresponding modulus functions
• A General form of the Functional LIL for Banach-Valued Brownian Motion
• Darling-Erdős theorem for Lévy processes at zero
• Acknowledgment of priority

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