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An Extreme-Value Analysis of the LIL for Brownian Motion
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Davar Khoshnevisan, University of Utah, USa
David A. Levin, University of Oregon, USA
Zhan Shi, Université Paris VI, France
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Abstract
We use excursion theory and the ergodic theorem
to present an extreme-value analysis
of the classical law of the iterated
logarithm (LIL) for Brownian motion. A simplified
version of our method also proves,
in a paragraph, the classical
theorem of Darling and Erdős (1956).
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Full text: PDF
Pages: 196-206
Published on: September 30, 2005
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Electronic Communications in Probability. ISSN: 1083-589X |
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