Chung LIL for integrated [alpha] stable process

Rongmao Zhang and Zhengyan Lin

Statistics & Probability Letters, 2007, vol. 77, issue 3, 295-302

Abstract: Let {X(t),t[set membership, variant]R+} be an integrated [alpha] stable process. With the help of the distributional relationship between a stable process and a Gaussian process, we study the small deviations of X(t). Using a small ball probability estimate, we obtain a Chung law of the iterated logarithm (LIL) for this process.

Keywords: Integrated; [alpha]; stable; process; Functional; law; of; the; integrated; logarithm; Small; ball; probability (search for similar items in EconPapers)
Date: 2007
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