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On strong invariance for local time of partial sums

For a suitable definition of the local time of a random walk strong invariance principles are proved, saying that this local time is like that of a Wiener process. Consequences of these results are LIL statements for the local time of a general enough class of random walks. One of the tools for our proofs is a discrete version of the Tanaka formula.
Year of publication:
1985
Authors: Csörgo, M. ; Révész, P.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 20.1985, 1, p. 59-84
Publisher: Elsevier
Keywords: Wiener process Tanaka formula random walk invariance LIL
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874929
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