scientific article; zbMATH DE number 18224

[For the entire collection see Zbl 0722.00030.] This note is concerned with the convergence of certain indefinite integrals associated with the real Brownian motion \(B=(B_ s: s\geq 0)\) and the Ornstein-Uhlenbeck process \(Y=(Y_ s: s\geq 0)\). Specifically, the authors show: (1) If \(\phi\in L^ 1_{loc}((0,1],dx)\), then \(\lim_{\varepsilon\downarrow 0}\int^ 1_ \varepsilon\phi(u)B_ udu\) exists in probability iff \(\Phi\in L^ 2((0,1])\) and \(\lim_{\varepsilon\downarrow 0}\sqrt{\varepsilon}\Phi(\varepsilon)=0\), where \(\Phi(u)=\int^ 1_ u\phi(s)ds\). (2) If \(g\in L^ 2([0,\infty),dx)\), then \(\int^ t_ 0 g(s)Y_ s ds\) converges a.s. and in \(L^ 2\) as \(t\to \infty\). (3) If \(g\in L^ 2([0,\infty),dx)\) and \(\mu\neq 0\), then \(\int^ t_ 0 g(s)e^{i\mu B_ s}ds\) converges a.s. and in \(L^ 2\) as \(t\to \infty\). Moreover, (3) is extended to symmetric Lévy processes. The motivation for this study comes from a link between Brownian motion and Hardy's \(L^ 2\) inequality.

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