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Zapiski Nauchnykh Seminarov LOMI, 1987, Volume 158, Pages 72–80
(Mi znsl5376)
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The law of iterated logarithm for quadratic variations
V. A. Egorov
Abstract:
Let $\mathcal{P}_a$ be the class of those partitions $\pi$ of intervals $[0;T]$, such that $|t_i-t_{i-1}|>a$, where $a$ is a constant, $V(T,\mathcal{P}_a)=\underset{\pi\in\mathcal{P}_a}{\operatorname{sup}}\sum_i(w(t_i)-w(t_{i-1}))^2$. It is proved that for any $a$ $\lim V(T,\mathcal{P}_a)/2T\ln_2T=1$ a. s., where $\ln_2x=\ln\ln x$, if $\ln x\geq e$, $\ln_2x=1$, if $\ln x<e$.
Citation:
V. A. Egorov, “The law of iterated logarithm for quadratic variations”, Problems of the theory of probability distributions. Part X, Zap. Nauchn. Sem. LOMI, 158, "Nauka", Leningrad. Otdel., Leningrad, 1987, 72–80
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https://www.mathnet.ru/eng/znsl5376 https://www.mathnet.ru/eng/znsl/v158/p72
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Abstract page: | 99 | Full-text PDF : | 38 |
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