STRASSENS LAW OF THE ITERATED LOGARITHM FOR DIFFUSION-PROCESSES FOR SMALL TIME

Authors
CARAMELLINO L
Citation
L. Caramellino, STRASSENS LAW OF THE ITERATED LOGARITHM FOR DIFFUSION-PROCESSES FOR SMALL TIME, Stochastic processes and their applications, 74(1), 1998, pp. 1-19
Citations number
9
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
74
Issue
1
Year of publication
1998
Pages
1 - 19
Database
ISI
SICI code
0304-4149(1998)74:1<1:SLOTIL>2.0.ZU;2-9
Abstract
We study the Strassen's law of the iterated logarithm for diffusion pr ocesses for small values of the parameter. For the Brownian Motion thi s result can be obtained by time reversal, a technique which is not ea sy to reproduce for diffusion processes. A number of examples and appl ications are discussed. (C) 1998 Elsevier Science B.V. All rights rese rved.