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A problem of Földes and Puri on the Wiener process
Author(s):
Z.
Shi
Journal:
Trans. Amer. Math. Soc.
348
(1996),
219-228.
MSC (1991):
Primary 60J65;
Secondary 60G17
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Abstract:
Let be a real-valued Wiener process starting from 0, and be the right-continuous inverse process of its local time at 0. Földes and Puri [3] raise the problem of studying the almost sure asymptotic behavior of as tends to infinity, i.e. they ask: how long does stay in a tube before ``crossing very much" a given level? In this note, both limsup and liminf laws of the iterated logarithm are provided for .
References:
- 1
- R.H. Cameron and W.T. Martin, The Wiener measure of Hilbert neighborhoods in the space of real continuous functions, J. Math. Phys. 23 (1944), 195--209, MR 6:132a.
- 2
- E. Csáki, An integral test for the supremum of Wiener local time, Probab. Th. Rel. Fields 83 (1989), 207--217, MR 91a:60206.
- 3
- A. Földes and M.L. Puri, The time spent by the Wiener process in a narrow tube before leaving a wide tube, Proc. Amer. Math. Soc. 117 (1993), 529--536, MR 93d:60131.
- 4
- J.W. Pitman and M. Yor, A decomposition of Bessel bridges, Z. Wahrscheinlichkeitstheorie verw. Gebiete 59 (1982), 425--457, MR 84a:60091.
- 5
- P. Révész, Random Walk in Random and Non-Random Environments, World Scientific, Singapore, 1990, MR 92c:60096.
- 6
- D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, Springer, Berlin, 1994, CMP 95:04.
- 7
- H.F. Trotter, A property of Brownian motion paths, Illinois J. Math. 2 (1958), 425--433, MR 20:2795.
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Additional Information:
Z.
Shi
Affiliation:
Université Paris VI, L.S.T.A. - CNRS URA 1321, Université Paris VI, Tour 45-55, 4 Place Jussieu, F-75252 Paris Cedex 05, France
Email:
shi@ccr.jussieu.fr
DOI:
10.1090/S0002-9947-96-01485-7
PII:
S 0002-9947(96)01485-7
Keywords:
Wiener process (Brownian motion),
law of the iterated logarithm
Received by editor(s):
December 7, 1994
Copyright of article:
Copyright
1996,
American Mathematical Society
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