Chung's law for homogeneous Brownian functionals

DOI10.1216/RMJ-2010-40-2-561zbMATH Open1210.60029arXiv0704.3519OpenAlexW1988026292MaRDI QIDQ976557FDOQ976557

Authors: A. Lachal, Thomas Simon 

Publication date: 14 June 2010

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

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.

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

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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)

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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
• A large deviations principle related to the strong arc-sine law
• Chung's law and the Csáki function

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