Chung’s Functional Law of the Iterated Logarithm for Increments of a Fractional Brownian Motion

Yonghong Liu () and Yongxiang Mo
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Yonghong Liu: Guilin University of Electronic Technology
Yongxiang Mo: Guilin University of Electronic Technology

Journal of Theoretical Probability, 2019, vol. 32, issue 2, 721-736

Abstract: Abstract In this paper, we present Chung’s functional law of the iterated logarithm for increments of a fractional Brownian motion. The corresponding results in Gao and Wang (Stat Probab Lett 73:165–177, 2005), Monrad and Rootzén (Probab Theory Relat Fields 101:173–192, 1995) and Wang (J Theor Probab 18(2):327–343, 2005) are extended. The main tools in the proof are large deviations and small deviations for fractional Brownian motion.

Keywords: Fractional Brownian motion; Increments; Chung’s functional law of the iterated logarithm; 60F17; 60F15; 60G22 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10959-018-0866-5

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