On Chung’s law of the iterated logarithm for the Brownian time Lévy’s area process

Jin V. Liu

Statistics & Probability Letters, 2013, vol. 83, issue 5, 1404-1410

Abstract: Let W be a standard Brownian motion and L be Lévy’s area process independent of W. For all t≥0, we define the Brownian time Lévy’s area process by setting: Y(t)=L(|W(t)|). In this paper we give Chung’s LIL for Y.

Keywords: Brownian time process; Lévy’s area; Small deviation; Chung’s LIL (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.02.002

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