English

Chung's law for homogeneous Brownian functionals

Probability 2007-10-23 v2

Abstract

Consider the first exit time Ta,bT_{a,b} from a finite interval [a,b][-a,b] for an homogeneous fluctuating functional XX of a linear Brownian motion. We show the existence of a finite positive constant \k\k such that limtt1log\p[Tab>t]=\k.\lim_{t\to\infty}t^{-1}\log \p[ T_{ab} > t] = -\k. Following Chung's original approach, we deduce a "liminf" law of the iterated logarithm for the two-sided supremum of XX. This extends and gives a new point of view on a result of Khoshnevisan and Shi.

Keywords

Cite

@article{arxiv.0704.3519,
  title  = {Chung's law for homogeneous Brownian functionals},
  author = {Aimé Lachal and Thomas Simon},
  journal= {arXiv preprint arXiv:0704.3519},
  year   = {2007}
}
R2 v1 2026-06-21T08:22:35.547Z