The Law of the Iterated Logarithm for Finitely Inhomogeneous Random Walks

The Hartman–Wintner–Strassen law of the iterated logarithm states that if X ₁, X ₂,… are independent identically distributed random variables and S _n =X ₁+???+X _n , then

$\limsup_{n}S_{n}/\sqrt{2n\log \log n}=1\quad \text{a.s.},\qquad \liminf_{n}S_{n}/\sqrt{2n\log \log n}=-1\quad \text{a.s.}$

if and only if EX ₁ ² =1 and EX ₁=0. We extend this to the case where the X _n are no longer identically distributed, but rather their distributions come from a finite set of distributions.