Small ball probabilities for integrals of weighted Brownian motion

T. Dunker, W. V. Li and W. Linde

Statistics & Probability Letters, 2000, vol. 46, issue 3, 211-216

Abstract: Let , where W(t), t[greater-or-equal, slanted]0, is a standard Brownian motion and [psi] is a weight function. We determine the rate of , for a large class of weight functions. The methods of our proofs are general and can be applied to many other problems. As an application, a Chung-type law of the iterated logarithm is given for X[psi](t) with .

Keywords: Small; ball; probabilities; Integrated; Brownian; motion (search for similar items in EconPapers)
Date: 2000
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