Asymptotic properties for Cauchy's principal values of Brownian and random walk local time

We present a strong approximation result between the Cauchy's principal values of Brownian local time and general random walk local time, and obtain the law of the iterated logarithm of Cauchy's principal values of random walk local time. Furthermore, we prove some precise asymptotics in the law of the iterated logarithm of Cauchy's principal values of random walk local time.

MoreLess

Year of publication:	2008
Authors:	Wen, Jiwei ; Lin, Zhengyan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 11, p. 1317-1327
Publisher:	Elsevier

More details

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

Persistent link: https://www.econbiz.de/10005314050