The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component
The authors prove a ``small time functional version of Chung's ``other law of the iterated logarithm for Lévy processes with non-vanishing Brownian component. As the authors indicate, this is still far from a general formulation of the results for Lévy processes. Their result is an analogue of the ``other law of the iterated logarithm at ``large times for Lévy processes and random walks with finite variance, as extended to a functional version by Wichura. The relevant cluster sets of the present paper and Wichura's paper do coincide. The authors show a good knowledge on the existing literature and adapt some classical ideas of proof. On the other hand, they develop new interesting techniques for the case of small times. The main idea of proof is to approximate the given process with a Brownian motion. As applications of their law of iterated logarithm, they consider weighted occupation measures and two-sided level crossings.
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