Lévy Classes and Self-Normalization | Zendy

Davar Khoshnevisan | Zendy

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Lévy Classes and Self-Normalization

Author(s) -

Davar Khoshnevisan

Publication year - 1996

Publication title -

electronic journal of probability

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.666

H-Index - 53

ISSN - 1083-6489

DOI - 10.1214/ejp.v1-1

Subject(s) - law of the iterated logarithm , mathematics , iterated logarithm , normalization (sociology) , logarithm , iterated function , markov process , generality , markov chain , discrete mathematics , pure mathematics , statistics , mathematical analysis , sociology , anthropology , psychology , psychotherapist

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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