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Precise asymptotics in laws of the iterated logarithm for Wiener local time

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  • Wen, Ji-Wei
  • Zhang, Li-Xin

Abstract

In this paper, we study the asymptotic properties of the upper and lower tail probabilities of the maximum local time L*(t) of Wiener process (Brownian motion), and obtain some precise asymptotics in the law of the iterated logarithm and the Chungs-type laws of the iterated logarithm for the supremum of Wiener local time .

Suggested Citation

  • Wen, Ji-Wei & Zhang, Li-Xin, 2003. "Precise asymptotics in laws of the iterated logarithm for Wiener local time," Statistics & Probability Letters, Elsevier, vol. 64(2), pages 133-145, August.
    • Handle: RePEc:eee:stapro:v:64:y:2003:i:2:p:133-145
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    Cited by:

    1. Wen, Jiwei & Lin, Zhengyan, 2008. "Asymptotic properties for Cauchy's principal values of Brownian and random walk local time," Statistics & Probability Letters, Elsevier, vol. 78(11), pages 1317-1327, August.
    2. Xiao, Xiao-Yong & Zhang, Li-Xin & Yin, Hong-Wei, 2013. "Precise rates in the generalized law of the iterated logarithm," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 616-623.

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