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On the embedding of processes in Brownian motion and the law of the iterated logarithm for reverse martingales

Published online by Cambridge University Press:  17 April 2009

D.J. Scott  and
R.M. Huggins
D.J. Scott
Affiliation:
Department of Mathematical Statistics, La Trobe University, Bundoora, Victoria 3083, Australia.
R.M. Huggins
Affiliation:
Department of Mathematical Statistics, La Trobe University, Bundoora, Victoria 3083, Australia.
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Abstract

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Techniques from martingale theory are used to obtain the Skorokhod embedding of reverse martingales in Brownian motion. This result is then used to obtain a functional law of the iterated logarithm for reverse martingales.

Type
Research Article
Information
Bulletin of the Australian Mathematical Society , Volume 27 , Issue 3 , June 1983 , pp. 443 - 459
Copyright
Copyright © Australian Mathematical Society 1983

References

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