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Laws of the iterated logarithm and large deviations for a class of diffusionl processes
Author(s) -
Remillard Bruno,
Dawson Donald A.
Publication year - 1989
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315477
Subject(s) - law of the iterated logarithm , iterated logarithm , mathematics , logarithm , infinitesimal , martingale (probability theory) , iterated function , statistical physics , large deviations theory , class (philosophy) , pure mathematics , mathematical analysis , statistics , computer science , physics , artificial intelligence
We use the martingale approach to study large deviations and laws of the iterated logarithm for certain multidimensional diffusion processes. The criteria for the validity of these properties are expressed in terms of averaging properties of the coefficients of the infinitesimal generator. In particular we apply our results to diffusion processes with random coefficients.