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

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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≥

dc.contributor.authorBuchmann, Boris
dc.contributor.authorMaller, Ross
dc.contributor.authorMason, David M
dc.date.accessioned2015-12-13T22:33:13Z
dc.identifier.issn0002-9947
dc.identifier.urihttp://hdl.handle.net/1885/75921
dc.description.abstractWe 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≥
dc.publisherAmerican Mathematical Society
dc.sourceTransactions of the American Mathematical Society
dc.source.urihttp://www.ams.org/jourcgi/jour-getitem?pii=S0002-9947-2014-06112-6
dc.titleLaws of the iterated logarithm for self-normalised levy processes at zero
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume367
dc.date.issued2015
local.identifier.absfor010100 - PURE MATHEMATICS
local.identifier.ariespublicationU3488905xPUB4859
local.type.statusPublished Version
local.contributor.affiliationBuchmann, Boris, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationMaller, Ross, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationMason, David M, University of Delaware
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage1737
local.bibliographicCitation.lastpage1770
dc.date.updated2015-12-11T09:14:59Z
local.identifier.scopusID2-s2.0-84916611974
CollectionsANU Research Publications

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