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Laws of the iterated logarithm for self-normalised levy processes at zero

Buchmann, Boris; Maller, Ross; Mason, David M

Description

We develop tools and methodology to establish laws of the iterated logarithm (LILs) for small times (as t↓0) for the “self-normalised” process {Formula presented}, constructed from a Levy process (Xt)t≥0 having quadratic variation process (Vt)t≥

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/75921
Source: Transactions of the American Mathematical Society

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