We study the behavior of $ \phi$-sub-Gaussian martingales $ (M_t)_{t>0}$ as $ t \to 0$. Applications are given to the stochastic integral of a particular kind of process and to the double stochastic integral of it with respect to two independent Brownian motions.
Laws of Iterated Logarithm for stochastic integrals of generalized subgaussian processes,
GIULIANO, RITA
2005-01-01
Abstract
We study the behavior of $ \phi$-sub-Gaussian martingales $ (M_t)_{t>0}$ as $ t \to 0$. Applications are given to the stochastic integral of a particular kind of process and to the double stochastic integral of it with respect to two independent Brownian motions.File in questo prodotto:
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