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Lower limits of iterated Wiener processes

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  • Shi, Z.

Abstract

Iterated Wiener processes are of interest in different branches of probability theory and mathematical statistics. Let X*(t) be the maximum of the absolute value of an iterated Wiener process X on the interval [0, In this paper, an integral test is given for or 1.

Suggested Citation

  • Shi, Z., 1995. "Lower limits of iterated Wiener processes," Statistics & Probability Letters, Elsevier, vol. 23(3), pages 259-270, May.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:3:p:259-270
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    Citations

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    Cited by:

    1. Liu, Jin V., 2013. "On Chung’s law of the iterated logarithm for the Brownian time Lévy’s area process," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1404-1410.
    2. Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál, 1997. "On the occupation time of an iterated process having no local time," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 199-217, October.
    3. Yimin Xiao, 1998. "Local Times and Related Properties of Multidimensional Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 11(2), pages 383-408, April.
    4. Bertoin, Jean, 1996. "Iterated Brownian motion and stable() subordinator," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 111-114, April.
    5. Csáki, Endre & Földes, Antónia, 1997. "On the logarithmic average of iterated processes," Statistics & Probability Letters, Elsevier, vol. 33(4), pages 347-358, May.
    6. Yueyun Hu, 1999. "Hausdorff and Packing Measures of the Level Sets of Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 12(2), pages 313-346, April.

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