The Csörgo-Révész modulus of non-differentiability of iterated Brownian motion

Y. Hu and Z. Shi

Stochastic Processes and their Applications, 1995, vol. 58, issue 2, 267-279

Abstract: Khoshnevisan and Lewis (1994a) have recently established Lévy's modulus of continuity of iterated Brownian motion. In this note, we obtain the Csörgo-Révész modulus of non-differentiability.

Keywords: Iterated; Brownian; motion; Modulus; of; non-differentiability; 60F15; 60G17 (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (4)

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