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Global Strassen-type theorems for iterated Brownian motions

A class of iterated processes is studied by proving a joint functional limit theorem for a pair of independent Brownian motions. This Strassen method is applied to prove global (t --> [infinity]), as well as local (t --> 0), LIL type results for various iterated processes. Similar results are also proved for iterated random walks via invariance.
Year of publication:
1995
Authors: Csáki, Endre ; Csörgo, Miklós ; Földes, Antónia ; Révész, Pál
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 59.1995, 2, p. 321-341
Publisher: Elsevier
Keywords: Iterated Brownian motions Strassen method LIL type results
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008874679
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