The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  1. J.A.D.Appleby, T.Lynch, X.Mao, and H.Z.Wu. The Size of the Largest Fluctuations in a Market Model with Markovian Switching. Commun. Appl. Anal. , to appear. Math. Review number not available.
  2. J.A.D.Appleby, X.Mao, and H.Z.Wu. On the size of the largest pathwise deviations of stochastic functional differential equations. Nonlinear Stud., to appear. Math. Review number not available.
  3. R.F.Bass, T.Kumagai. Laws of the iterated logarithm for some symmetric diffusion processes. Osaka J. Math. 37 (2000), no. 3, 625--650. Math. Review 2001j:60139.
  4. L.Chaumont and J.C.Pardo. The lower envelope of positive self-similar Markov processes. Electron. J. Probab. 11 (2006) no. 49, 1321--1341. Math. Review 2008f:60042.
  5. A.Dvoretzky and P.Erdős. Some problems on random walk in space. Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability, 1950. pp. 353--367. University of California Press, Berkeley and Los Angeles, 1951. Math. Review 13,852b.
  6. E.F.Fama. Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (1970), no. 2, 383-417. Math. Review number not available.
  7. E.F.Fama. Efficient capital markets: a review of theory and empirical work. With comments by William F. Sharpe and Robert A. Schwartz. Frontiers of quantitative economics (Invited Papers, Econometric Soc. Winter Meetings, New York, 1969), pp. 309--361. Contributions to Economic Analysis, Vol. 71, North-Holland, Amsterdam, 1971. Math. Review 55 #9855.
  8. J.Franke, W.H‰rdle, and C. M.Hafner. Statistics of financial markets: an introduction, Springer-Verlag, Berlin, 2004. Math. Review 2005g:91002.
  9. I.I.Gihman and A.V.Skorohod. Stochastic differential equations, Springer-Verlag, New York-Heidelberg, 1972. Math. Review 49 #11625.
  10. B.M.Hambly, G.Kersting, and A.E.Kyprianou. Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative, Stochastic Process. Appl., 108 (2003), no. 2, 327--343. Math. Review 2004m:60097.
  11. N.Ikeda and S.Watanabe. Stochastic differential equations and diffusion processes, North Holland-Kodansha, Amsterdam and Tokyo, 1981. Math. Review 84b:60080.
  12. I.Karatzas and S.E.Shreve. Brownian motion and stochastic calculus (2nd Ed), Springer-Verlag, New York, 1998. Math. Review 89c:60096.
  13. J. Lamperti. Semi--stable Markov processes. I. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 22 (1972), 205--225. Math. Review 46 #6478.
  14. X.Mao. Stochastic differential equations and applications. Second edition. Horwood Publishing Limited, Chichester, 2008. Math. Review 2009e:60004.
  15. M.Motoo. Proof of the law of iterated logarithm through diffusion equation, Ann. Inst. Statist. Math. 10 (1958), 21--28. Math. Review 20 #4331.
  16. V.Rivero. A law of iterated logarithm for increasing self-similar Markov processes, Stoch. Stoch. Rep. 75 (2003), no. 6, 443--472. Math. Review 2005e:60087.
  17. D.Revuz and M.Yor. Continuous martingales and Brownian motion. Third edition. Springer-Verlag, Berlin, 1999. Math. Review 2000h:60050.
  18. L.C.G.Rogers and D.Williams. Diffusions, Markov processes, and martingales. Vol. 2. ItÙ calculus, Cambridge University Press, Cambridge, 2000. Math. Review 2001g:60189.
  19. T.Yamada. On the uniqueness of solutions of stochastic differential equations with reflecting barrier conditions, SÈminaire de ProbabilitÈs, X (PremiËre partie, Univ. Strasbourg, Strasbourg, annÈe universitaire 1974/1975), pp. 240--244. Lecture Notes in Math., Vol. 511, Springer, Berlin, 1976. Math. Review 56 #1458.
Bookmark and Share


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.