How Big are the Increments of a Wiener Process?
Csorgo, M. ; Revesz, P.
Ann. Probab., Tome 7 (1979) no. 6, p. 731-737 / Harvested from Project Euclid
Let $\beta_T = (2a_T\lbrack\log(T/a_T) + \log\log T\rbrack)^{-\frac{1}{2}}, 0 < a_T \leqslant T < \infty$ and $\{W(t); 0 \leqslant t < \infty\}$ be a standard Wiener process. This paper studies the almost sure limiting behaviour of $\sup_{0\leqslant t\leqslant T-a_T} \beta_T|W(t + a_T) - W(t)|$ as $T \rightarrow \infty$ under varying conditions on $a_T = c \log T, c > 0$, the Erdos-Renyi law of large numbers for the Wiener process. A number of other results for the Wiener process also follow via choosing $a_T$ appropriately. Connections with strong invariance principles and the P. Levy modulus of continuity for $W(t)$ are also established.
Publié le : 1979-08-14
Classification:  Increments of a Wiener process,  law of iterated logarithm,  60F15,  60G15,  60G17
@article{1176994994,
     author = {Csorgo, M. and Revesz, P.},
     title = {How Big are the Increments of a Wiener Process?},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 731-737},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994994}
}
Csorgo, M.; Revesz, P. How Big are the Increments of a Wiener Process?. Ann. Probab., Tome 7 (1979) no. 6, pp.  731-737. http://gdmltest.u-ga.fr/item/1176994994/