Moderate deviations and Strassen's law for additive processes
Probability
2016-05-20 v2
Abstract
We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's functional law of the iterated logarithm. In particular, we show that any square-integrable L\'evy process satisfies Strassen's law.
Cite
@article{arxiv.1406.7180,
title = {Moderate deviations and Strassen's law for additive processes},
author = {Franziska Kühn and René L. Schilling},
journal= {arXiv preprint arXiv:1406.7180},
year = {2016}
}