Lower Bounds for the Distribution of Suprema of Brownian Increments and Brownian Motion Normalized by the Corresponding Modulus Functions

Vladimir Dobric () and Lisa Marano ()
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Vladimir Dobric: Lehigh University
Lisa Marano: West Chester University of Pennsylvania

Journal of Theoretical Probability, 2016, vol. 29, issue 1, 1-31

Abstract: Abstract The Lévy–Ciesielski construction of Brownian motion is used to determine non-asymptotic estimates for the maximal deviation of increments of a Brownian motion process $$(W_{t})_{t\in \left[ 0,T\right] }$$ ( W t ) t ∈ 0 , T normalized by the global modulus function, for all positive $$\varepsilon $$ ε and $$\delta $$ δ . Additionally, uniform results over $$\delta $$ δ are obtained. Using the same method, non-asymptotic estimates for the distribution function for the standard Brownian motion normalized by its local modulus of continuity are obtained. Similar results for the truncated Brownian motion are provided and play a crucial role in establishing the results for the standard Brownian motion case.

Keywords: Brownian motion; Global and local moduli of continuity of Brownian motion; Lévy–Ciesielski construction of Brownian motion; Law of the iterated logarithm; 60J65; 60F99; 60G99 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10959-014-0570-z

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