On normalization in the law of the iterated logarithm for diffusion processes
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Assume for diffusion processes of the type \(dx=a(x)dt+dw\) with the usual conditions on a(x) that x(t) is positive recurrent. Then for a function h(t) increasing monotonically to infinite \(P(x(t)>h(t)\), i.o. as \(t\to \infty)=0\) or 1 according to whether \(\int^{x}_{x_ 0}\) exp(- \(\int^{u}_{x_ 0}2a(v)dv)du\) is convergent or divergent. Under the above conditions a normalized version (using h(t)) of the law of iterated logarithm can be given.
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(5)- On the convergence of diffusion processes conditioned to remain in a bounded region for large time to limiting positive recurrent diffusion processes
- Lévy classes and self-normalization
- Functional law of iterated logarithm for normalized integrals of processes with weak dependence
- On the log-normal diffusion process
- Penalizing null recurrent diffusions
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