Strassen's law of the iterated logarithm for diffusion processes for small time

Lucia Caramellino

Stochastic Processes and their Applications, 1998, vol. 74, issue 1, 1-19

Abstract: We study the Strassen's law of the iterated logarithm for diffusion processes for small values of the parameter. For the Brownian Motion this result can be obtained by time reversal, a technique which is not easy to reproduce for diffusion processes. A number of examples and applications are discussed.

Date: 1998
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