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2005 An Extreme-Value Analysis of the LIL for Brownian Motion
Davar Khoshnevisan, David Levin, Zhan Shi
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Electron. Commun. Probab. 10: 196-206 (2005). DOI: 10.1214/ECP.v10-1154


We use excursion theory and the ergodic theorem to present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. A simplified version of our method also proves, in a paragraph, the classical theorem of Darling and Erdős (1956).


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Davar Khoshnevisan. David Levin. Zhan Shi. "An Extreme-Value Analysis of the LIL for Brownian Motion." Electron. Commun. Probab. 10 196 - 206, 2005.


Accepted: 30 September 2005; Published: 2005
First available in Project Euclid: 4 June 2016

zbMATH: 1112.60064
MathSciNet: MR2175401
Digital Object Identifier: 10.1214/ECP.v10-1154

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