Small ball probabilities for Gaussian processes with stationary increments under Hölder norms

Small ball probabilities are estimated for Gaussian processes with stationary increments when the small balls are given by various Hölder norms. As an application we establish results related to Chung's functional law of the iterated logarithm for fractional Brownian motion under Hölder norms. In particular, we identify the points approached slowest in the functional law of the iterated logarithm.Supported in part by NSF Grant DMS-9024961.     

Laws of the iterated logarithm for iterated Wiener processes

The recent interest in iterated Wiener processes was motivated by apparently quite unrelated studies in probability theory and mathematical statistics. Laws of the iterated logarithm (LIL) were independently obtained by Burdzy⁽²⁾ and Révész⁽¹⁷⁾. In this work, we present a functional version of LIL for a standard iterated Wiener process, in the spirit of functional asymptotic results of an ²-valued Gaussian process given by Deheuvels and Mason⁽⁹⁾ in view of Bahadur-Kiefer-type theorems. Chung's liminf sup LIL is established as well, thus providing further insight into the asymptotic behavior of iterated Wiener processes.     

A problem of Földes and Puri on the Wiener process

Let be a real-valued Wiener process starting from 0, and be the right-continuous inverse process of its local time at 0. Földes and Puri [3] raise the problem of studying the almost sure asymptotic behavior of as tends to infinity, i.e. they ask: how long does stay in a tube before ``crossing very much" a given level? In this note, both limsup and liminf laws of the iterated logarithm are provided for .

     

Measuring the Rarely Visited Sites of Brownian Motion

We study the almost sure asymptotic behaviors of the Lebesgue measure of the points which are hardly visited, in the sense of Földes and Révész,⁽⁷⁾ by a linear Wiener process.     

Exact rate of convergence in Strassen's law of the interated logarithm

We investigate the upper limiting behavior of the distance of the normalize trajectories of a Wiener process from Strassen's class. It is shown that the right rate is (log logT)^–2/3, improving previous results by the author and by Goodman and Kuelbs.^(2,3)     

Wiener过程在Hoelder范数下的泛函重对数定律

本文借助于Hoelder范数在函数空间中诱导出的强拓扑下的大偏差公式，得到了Wiener过程在Hoelder范数下的泛函重对数定律．     

A note on small ball probability of a Gaussian process with stationary increments

Let {X(t), 0t1} be a Gaussian process with mean zero and stationary increments. Let ²(h) =EX ²(h) be nondecreasing and concave on (0,1). A sharp bound on the small ball probability ofX(·) is given in this paper.Research supported by Charles Phelps Taft Post-doctoral Fellowship of the University of Cincinnati and by the Fok Yingtung Education Foundation of China.     

How big are the Cs(o)rg(o)-Révész increments of two-parameter Wiener processes?

In this paper, we prove a theorem on the set of limit points of the increments of a two-parameter Wiener process via establishing a large deviation principle on the increments of the two-parameter Wiener process.     

Laws of the iterated logarithm for high-dimensional wiener sausage

Let {β(s), s ≥ 0} be the standard Brownian motion in ℝ ^d with d ≥ 4 and let |W _r (t)| be the volume of the Wiener sausage associated with {β(s), s ≥ 0} observed until time t. From the central limit theorem of Wiener sausage, we know that when d ≥ 4 the limit distribution is normal. In this paper, we study the laws of the iterated logarithm for | W_r (t) | - \mathbbE| W_r (t) |\left| {W_r (t)} \right| - \mathbb{E}\left| {W_r (t)} \right| in this case.     

On the increments of the local time of a Wiener sheet

{W(x, y), x≥0, y≥0} be a Wiener process and let η(u, (x, y)) be its local time. The continuity of η in (x, y) is investigated, i.e., an upper estimate of the process η(μ, [x, x + α) × [y, y + β)) is given when αβ is small.     

Chung-type Law of the Iterated Logarithm on l^P-valued Gaussian Processes

By estimating small ball probabilities for l^P-valued Gaussian processes, a Chung-type law of the iterated logarithm of l^P-valued Gaussian processes is given.     

On Strassen's version of the law of the iterated logarithm for the two-parameter Gaussian process

Strassen's version of the law of the iterated logarithm is extended to the two-parameter Gaussian process {X(s, t); ε(s, t) [0, ∞)²} with the covariance function R((s₁,t₁),(s₂,t₂)) = min(s₁,s₂)min(t₁,t₂).     

Wiener过程在H(o)lder范数下的泛函重对数定律

本文借助于H(o)lder范数在函数空间中诱导出的强拓扑下的大偏差公式,得到了Wiener过程在H(o)lder范数下的泛函重对数定律.     

SOME LIMIT PROPERTIES OF LOCAL TIME FOR RANDOM WALK

Let X,X1,X2 be i. i. d. random variables with EX^2＋δ〈∞ （for some δ〉0）. Consider a one dimensional random walk S={Sn}n≥0, starting from S0 =0. Let ζ＊ （n）=supx∈zζ（x,n）,ζ（x,n） =#{0≤k≤n：[Sk]=x}. A strong approximation of ζ（n） by the local time for Wiener process is presented and the limsup type and liminf-type laws of iterated logarithm of the maximum local time ζ＊（n） are obtained. Furthermore,the precise asymptoties in the law of iterated logarithm of ζ＊（n） is proved.     

The almost sure behavior of the oscillation modulus for PL-process and cumulative hazard process under random censorship

The local behavior of oscillation modulus of the product-limit (PL) process and the cumulative hazard process is investigated when the data are subjected to random censoring. Laws of the iterated logarithm of local oscillation modulus for the PL-process and the cumulative hazard process are established. Some of these results are applied to obtain the almost sure best rates of convergence for various types of density estimators as well as the Bahadur-Kiefer type process. Project supported in part by the National Natural Science Foundation of China (Grant No. 19701037).     

Convergence rates for probabilities of moderate deviations for moving average processes

The present paper first shows that, without any dependent structure assumptions for a sequence of random variables, the refined results of the complete convergence for the sequence is equivalent to the corresponding complete moment convergence of the sequence. Then this paper investigates the convergence rates and refined convergence rates （or complete moment convergence） for probabilities of moderate deviations of moving average processes. The results in this paper extend and generalize some well-known results.     

The distance between the Kac process and the Wiener process with applications to generalized telegraph equations

In this note we obtain a local central limit theorem and an expansion of length two for the Kac processY (t) that describes the position of a particle at timet after collisions. In particular, we obtain a rate of convergence for the distance of total variation for the distributions oft ^–1/2 Y (t) and the Wiener process at timet. The results apply to the probabilistic solutions of abstract telegraph and heat equations which heavily rely on the Kac and Wiener processes. Under very mild assumptions we establish a rate of convergence for a singular perturbation problem of an abstract heat equation.     

A self-normalized law of the iterated logarithm for the geometrically weighted random series

Let {X, X_n; n ≥ 0} be a sequence of independent and identically distributed random variables with EX=0, and assume that EX~2I(|X| ≤ x) is slowly varying as x →∞, i.e., X is in the domain of attraction of the normal law. In this paper, a self-normalized law of the iterated logarithm for the geometrically weighted random series Σ~∞_(n=0)β~nX_n(0 β 1) is obtained, under some minimal conditions.