The Csörgo-Révész modulus of non-differentiability of iterated Brownian motion

Khoshnevisan and Lewis (1994a) have recently established Lévy's modulus of continuity of iterated Brownian motion. In this note, we obtain the Csörgo-Révész modulus of non-differentiability.

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Year of publication:	1995
Authors:	Hu, Y. ; Shi, Z.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 58.1995, 2, p. 267-279
Publisher:	Elsevier
Keywords:	Iterated Brownian motion Modulus of non-differentiability 60F15 60G17

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

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