Limit theorems for the square integral of Brownian motion and its increments

Wenbo V. Li

Stochastic Processes and their Applications, 1992, vol. 41, issue 2, 223-239

Abstract: Strassen's functional law of the iterated logarithm can be used to prove limit results about Brownian motion, but the limiting constants are given implicitly in many cases. In this paper, we provide a probabilistic method that can give the limiting constants explicitly for the square integral of Brownian motion and its increments.

Keywords: Brownian; motion; law; of; the; iterated; logarithm; increments; of; Brownian; motion; Karhunen-Loeve; expansion (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (6)

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