Small ball probabilities for a Wiener process under weighted sup-norms,with an application to the supremum of bessel local times |
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| Authors: | Z. Shi |
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| Affiliation: | (1) L.S.T.A.-CNRS URA 1321, Université Paris VI, Tour 45-55, 4 Place Jussieu, 75252 Paris Cedex 05, France |
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| Abstract: | LetR be the radial part of ad-dimensional Wiener process, starting from 0. In this paper, small ball probabilities are evaluated for sup0<1 1(t–pR(t)) and supt 0(e–1R(t)), withp [0, 1/2]. Chung's law of the iterated logarithm is established for the supremum of the local times of a two-dimensional Bessel process. |
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| Keywords: | Small ball problem law of the iterated logarithm Bessel local time Wiener process |
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