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Large deviations and the Strassen theorem in Hölder norm

We prove that Schilder's theorem, giving large deviations estimates for the Brownian motion multiplied by a small parameter, still holds with the sup-norm replaced by any Hölder norm with exponent. We produce examples which show that this is effectively a stronger result and, as an application, we prove Strassen's Iterated Logarithm Law in these stronger topologies.
Year of publication:
1992
Authors: Baldi, P. ; Ben Arous, G. ; Kerkyacharian, G.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 42.1992, 1, p. 171-180
Publisher: Elsevier
Subject: large deviations iterated logarithm law
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874877
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