A Functional LIL and Some Weighted Occupation Measure Results for Fractional Brownian Motion

J. Kuelbs () and W. V. Li ()
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J. Kuelbs: University of Wisconsin
W. V. Li: University of Delaware

Journal of Theoretical Probability, 2002, vol. 15, issue 4, 1007-1030

Abstract: Abstract Weighted occupation measure results are obtained for fractional Brownian motion. Proofs depend on small ball probability estimates of the sup-norm for these processes, which are then used to obtain a functional law of the iterated logarithm. The occupation measure results are consequences of the law of the iterated logarithm.

Keywords: Functional LIL; fractional Brownian motion; small ball probabilities; weighted occupation measures (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1020696922183

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