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Path properties of the primitives of a Brownian motion

Part of: Stochastic processes Markov processes Limit theorems

Published online by Cambridge University Press:  09 April 2009

Zhengyan Lin
Zhengyan Lin
Affiliation:
Department of Mathematics Zhejiang University, Xixi Campus Hangzhou Zhejiang 310028 P. R.China e-mail: zlin@mail.hz.zj.cn
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Abstract

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Let {W(t), t ≥ 0} be a standard Brownian motion. For a positive integer m, define a Gaussian process Watanabe and Lachal gave some asymptotic properties of the process Xm(·), m ≥ 1. In this paper, we study the bounds of its moduli of continuity and large increments by establishing large deviation results.

Keywords

moduli of continuitylarge incrementsBrownian otionprimitive

MSC classification

Secondary: 60F15: Strong theorems 60J65: Brownian motion 60G17: Sample path properties
Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 70 , Issue 1 , February 2001 , pp. 119 - 133
Copyright
Copyright © Australian Mathematical Society 2001

References

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