LIMIT-THEOREMS FOR THE SQUARE INTEGRAL OF BROWNIAN-MOTION AND ITS INCREMENTS

被引：11
作者：
LI, WV
机构：
[1] Department of Mathematics, University of Wisconsin, Madison
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1992年 / 41卷 / 02期
关键词：
BROWNIAN MOTION; LAW OF THE ITERATED LOGARITHM; INCREMENTS OF BROWNIAN MOTION; KARHUNEN-LOEVE EXPANSION;
D O I：
10.1016/0304-4149(92)90123-8
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Strassen's functional law of the iterated logarithm can be used to prove limit results about Brownian motion, but the limiting constants are given implicitly in many cases. In this paper, we provide a probabilistic method that can give the limiting constants explicitly for the square integral of Brownian motion and its increments.
引用
收藏
页码：223 / 239
页数：17
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