Chung's law for homogeneous Brownian functionals
classification
🧮 math.PR
keywords
brownianchungfinitehomogeneousapproachconsiderconstantdeduce
read the original abstract
Consider the first exit time $T_{a,b}$ from a finite interval $[-a,b]$ for an homogeneous fluctuating functional $X$ of a linear Brownian motion. We show the existence of a finite positive constant $\k$ such that $$\lim_{t\to\infty}t^{-1}\log \p[ T_{ab} > t] = -\k.$$ Following Chung's original approach, we deduce a "liminf" law of the iterated logarithm for the two-sided supremum of $X$. This extends and gives a new point of view on a result of Khoshnevisan and Shi.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.