Chung's law for homogeneous Brownian functionals

DOI10.1216/RMJ-2010-40-2-561MaRDI QIDQ976557zbMATHOpenAlexFDO

Authors A. Lachal, Thomas Simon

Publication date 14 June 2010

Published in Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0704.3519

zbMATH Keywords

functional of Brownian motionself-similarityfirst-exit timelarge deviation probabilityChung's law of the iterated logarithmsmall ball probabilities

Mathematics Subject Classification ID

Large deviations (60F10) Brownian motion (60J65) Strong limit theorems (60F15) Local time and additive functionals (60J55)

Abstract: Consider the first exit time $T_{a,b}$ from a finite interval $[-a,b]$ for an homogeneous fluctuating functional $X$ of a linear Brownian motion. We show the existence of a finite positive constant $k$ such that ${\displaystyle }$lim_{t oinfty}t^{-1}log p[ T_{ab} > t] = -k.${\displaystyle }$ Following Chung's original approach, we deduce a "liminf" law of the iterated logarithm for the two-sided supremum of $X$. This extends and gives a new point of view on a result of Khoshnevisan and Shi.

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Cited in

(4)

• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
• Tail probability estimates for additive functionals
• Chung's law and the Csáki function
• A large deviations principle related to the strong arc-sine law

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