We give a small time functional version of Chung s other law of the iterated logarithm for Levy processes with non-vanishing Brownian component. This is an analogue of the other law of the iterated logarithm at large times for Levy processes and random walks with finite variance, as extended to a functional version by Wichura. As one of many possible applications, we mention a functional law for a two-sided passage time process.
|Pages (from-to)||1 - 28|
|Number of pages||28|
|Journal||Probability Theory and Related Fields|
|Publication status||Published - 2011|