Laws of the iterated logarithm for -time Brownian motion

DOI10.1214/EJP.V11-327MaRDI QIDQ850412zbMATH OpenOpenAlexFDO

Authors Erkan Nane

Publication date 3 November 2006

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

Full work available at URL https://arxiv.org/abs/math/0508261, https://eudml.org/doc/128018

zbMATH Keywords

local timesymmetric \(\alpha\)-stable process\(\alpha\)-time Brownian motionChung's lawKesten's law

Mathematics Subject Classification ID

Brownian motion (60J65) Special processes (60K99)

Abstract: We introduce a class of iterated processes called $alpha$-time Brownian motion for $0<alphaleq2$. These are obtained by taking Brownian motion and replacing the time parameter with a symmetric $alpha$-stable process. We prove a Chung-type law of the iterated logarithm (LIL) for these processes which is a generalization of LIL proved in cite{hu} for iterated Brownian motion. When $alpha=1$ it takes the following form ${\displaystyle }$ liminf_{T oinfty}T^{-1/2}(log log T) sup_{0leq tleq T}|Z_{t}|=pi^{2}sqrt{lambda_{1}} a.s. ${\displaystyle }$ where $lambd{a}_1$ is the first eigenvalue for the Cauchy process in the interval $[-1,1].$ We also define the local time $L^{\ast }(x,t)$ and range $R^{\ast }(t)=|x:Z(s)=xextforsomesleqt|$ for these processes for $1<alpha<2$. We prove that there are universal constants $c_R,c_{L}in(0,infty)$ such that ${\displaystyle }$ limsup_{t oinfty}frac{R^{*}(t)}{(t/log log t)^{1/2alpha}log log t}= c_{R} a.s. ${\displaystyle }$ ${\displaystyle }$ liminf_{t oinfty} frac{sup_{xin RR{R}}L^{*}(x,t)}{(t/log log t)^{1-1/2alpha}}= c_{L} a.s. ${\displaystyle }$

Recommendations

• Laws of the iterated logarithm for a class of iterated processes
• scientific article; zbMATH DE number 1225455
• Laws of the iterated logarithm for symmetric stable processes
• Chung's law of the iterated logarithm for iterated Brownian motion
• Iterated Brownian motion and stable \((1/4)\) subordinator

Cited in

(17)

• Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$
• scientific article; zbMATH DE number 1163912 (Why is no real title available?)
• {\(\alpha\)}-time fractional Brownian motion: PDE connections and local times
• A uniform law of iterated logarithm for Brownian motion on compact Riemannian manifolds
• On small deviation probabilities for certain iterated random processes
• Laws of the iterated logarithm for a class of iterated processes
• A BROWNIAN-TIME EXCURSION INTO FOURTH-ORDER PDES, LINEARIZED KURAMOTO–SIVASHINSKY, AND BTP-SPDES ON ℝ₊ × ℝ^d
• Addendum to: An iterated logarithm law for families of Brownian paths
• A law of iterated logarithm for occupation time of Brownian motion in \(l_2\)
• Small deviations of iterated processes in the space of trajectories
• Laws of the iterated logarithm for time changed Brownian motion with an application to branching processes
• A Hanson-Russo-type law of the iterated logarithm for fractional Brownian motion
• Random-time isotropic fractional stable fields
• Brownian subordinators and fractional Cauchy problems
• On the asymptotics of supremum distribution for some iterated processes
• scientific article; zbMATH DE number 3923771 (Why is no real title available?)
• Random walks at random times: convergence to iterated Lévy motion, fractional stable motions, and other self-similar processes

This page was built for publication: Laws of the iterated logarithm for \(\alpha\)-time Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q850412)