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On Chung’s law of the iterated logarithm for the Brownian time Lévy’s area process

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  • Liu, Jin V.

Abstract

Let W be a standard Brownian motion and L be Lévy’s area process independent of W. For all t≥0, we define the Brownian time Lévy’s area process by setting: Y(t)=L(|W(t)|). In this paper we give Chung’s LIL for Y.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:5:p:1404-1410
    DOI: 10.1016/j.spl.2013.02.002
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    References listed on IDEAS

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    1. Shi, Z., 1995. "Lower limits of iterated Wiener processes," Statistics & Probability Letters, Elsevier, vol. 23(3), pages 259-270, May.
    2. Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál, 1995. "Global Strassen-type theorems for iterated Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 321-341, October.
    3. Neuenschwander, Daniel, 1998. "Law of the iterated logarithm for Lévy's area process composed with Brownian motion," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 371-377, November.
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