How small are the increments of a Wiener process?
Let , 0<aT[less-than-or-equals, slant]T<[infinity], and {W(t);0[less-than-or-equals, slant]t<[infinity]} be a standard Wiener process. This exposition studies the almost sure behaviour of inf0[less-than-or-equals, slant]t[less-than-or-equals, slant]T-aTsup0[less-than-or-equals, slant]s[less-than-or-equals, slant]aT [gamma]TW(t+s)-W(t) as T -->[infinity], under varying conditions on aT and T/aT. The following analogue of Lévy's modulus of continuity of a Wiener Process is also given: and this may be viewed as the exact "modulus of non-differentiability" of a Wiener Process.
Year of publication: |
1978
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Authors: | Csörgo, M. ; Révész, P. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 8.1978, 2, p. 119-129
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Publisher: |
Elsevier |
Saved in:
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