A Hanson-Russo-type law of the iterated logarithm for fractional Brownian motion

Let BH(t) be a fractional Brownian motion with index 0<H<1. We investigate the set of almost sure limit points of the sequence of functions [beta]n(BH(n+tg(n))-BH(n)), where g(n) and [beta]n are suitably chosen functions of n and 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1. Our results give a version of the Hanson-Russo law of the iterated logarithm for general fractional Brownian motions.

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Year of publication:	1993
Authors:	El-Nouty, Charles
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 17.1993, 1, p. 27-34
Publisher:	Elsevier
Keywords:	fractional Brownian motion law of the iterated logarithm reproducing kernel Hilbert space

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223848