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Transactions of the American Mathematical Society
ISSN 1088-6850(e) ISSN 0002-9947(p)
     

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 | References | Similar articles | Additional information

Abstract: Let $W$ be a real-valued Wiener process starting from 0, and $\tau (t)$ 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 $X(t)=\int _0^{\tau (t)} {\text{\bf 1}\hskip -1.25pt\mathrm{l}}_{\{ | W(u)| \le \alpha t\} }du$ as $t$ tends to infinity, i.e. they ask: how long does $W$ 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 $X$.


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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.

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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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