On Chung's Law of the Iterated Logarithm for Some Stochastic Integrals
Remillard, Bruno
Ann. Probab., Tome 22 (1994) no. 4, p. 1794-1802 / Harvested from Project Euclid
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We prove that there exists a constant $a(A) \in (0, \infty)$ such that $\lim \inf_{t \rightarrow \infty} (\log \log t/t)\sup_{0 \leq s \leq t}|\int^s_0\langle AW_u, dW_u\rangle | = a(A)$ with probability 1, where $A$ is a skew-symmetric $d \times d$ matrix, $A \neq 0$, and $\{W_t\}_{t\geq 0}$ is a $d$-dimensional Wiener process.
Publié le : 1994-10-14
Classification:  Chung's law of the iterated logarithm,  large deviations,  Levy's area process,  stochastic integrals,  60F15,  60F10,  60H05 
@article{1176988483,
     author = {Remillard, Bruno},
     title = {On Chung's Law of the Iterated Logarithm for Some Stochastic Integrals},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 1794-1802},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988483}
}

Remillard, Bruno. On Chung's Law of the Iterated Logarithm for Some Stochastic Integrals. Ann. Probab., Tome 22 (1994) no. 4, pp.  1794-1802. http://gdmltest.u-ga.fr/item/1176988483/