Laws of the iterated logarithm for a class of iterated processes

DOI10.1016/J.SPL.2009.04.013zbMATH Open1173.60317arXiv0806.3126OpenAlexW1994949632MaRDI QIDQ840786FDOQ840786

Authors: Erkan Nane 

Publication date: 14 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Let $X=X(t),tgeq0$ be a Brownian motion or a spectrally negative stable process of index $1<a<2$. Let $E=E(t),tgeq0$ be the hitting time of a stable subordinator of index $$ independent of $X$. We use a connection between $X(E(t))$ and the stable subordinator of index $$ to derive information on the path behavior of $X(E_t)$. This is an extension of the connection of iterated Brownian motion and (1/4)-stable subordinator due to Bertoin cite{bertoin}. Using this connection, we obtain various laws of the iterated logarithm for $X(E(t))$. In particular, we establish law of the iterated logarithm for local time Brownian motion, $X(L(t))$, where $X$ is a Brownian motion (the case $a=2$) and $L(t)$ is the local time at zero of a stable process $Y$ of index $1<gammaleq2$ independent of $X$. In this case $E(hot)=L(t)$ with $$ for some constant $ho>0$. This establishes the lower bound in the law of the iterated logarithm which we could not prove with the techniques of our paper cite{MNX}. We also obtain exact small ball probability for $X(E_t)$ using ideas from cite{aurzada}.

Full work available at URL: https://arxiv.org/abs/0806.3126

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Mathematics Subject Classification ID

Strong limit theorems (60F15) Self-similar stochastic processes (60G18)

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