English

Limsup behaviors of multi-dimensional selfsimilar processes with independent increments

Probability 2010-12-16 v2

Abstract

Laws of the iterated logarithm of "limsup" type are studied for multi-dimensional selfsimilar processes {X(t)}\{X(t)\} with independent increments having exponent HH. It is proved that, for any positive increasing function g(t)g(t) with limtg(t)=\displaystyle \lim_{t\to\infty}g(t) = \infty, there is C[0,]C\in [0,\infty] such that lim supX(t)/(tHg(logt))=C\limsup|X(t)|/(t^Hg(|\log t|))= C a.s. as tt \to\infty , in addition, as t0t \to 0. A necessary and sufficient condition for the existence of g(t)g(t) with C=1 is obtained. In the case where g(t)g(t) with C=1 does not exist, a criterion to classify functions g(t)g(t) according to C=0 or C=C=\infty is given. Moreover, various "limsup" type laws with identification of the positive constants CC are explicitly presented in several propositions and examples. The problems that exchange the roles of {X(t)}\{X(t)\} and g(t)g(t) are also discussed.

Keywords

Cite

@article{arxiv.1003.0552,
  title  = {Limsup behaviors of multi-dimensional selfsimilar processes with independent increments},
  author = {Toshiro Watanabe and Kouji Yamamuro},
  journal= {arXiv preprint arXiv:1003.0552},
  year   = {2010}
}

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40 pages