Lévy Classes and Self-Normalization

Davar Khoshnevisan (University of Utah)

Abstract


We prove a Chung's law of the iterated logarithm for recurrent linear Markov processes. In order to attain this level of generality, our normalization is random. In particular, when the Markov process in question is a diffusion, we obtain the integral test corresponding to a law of the iterated logarithm due to Knight.

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Pages: 1-18

Publication Date: October 24, 1995

DOI: 10.1214/EJP.v1-1

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