独立增量过程的上下类函数

The Upper and Lower Class Functions for Processes With Independents

  • 摘要: 本文讨论了独立增量过程的Kolomogorov重对数律和Chung重对数律相应的上下类函数问题,得到了与独立随机变量情形相应的结果。

     

    Abstract: In this paper, we derive the upper and lower class functions for prosses with independent increments.Let X=(Xt;t≥0)be a process with independent increments,EXt= 0,< X >t< +∞,and limt→∞<X>t=+∞. If exists a poisitive constant K such that\left|\Delta X_t\right| \tilde\equiv\left|X_t-X_t-1\right| \leq \frack < x_t^1 / 2\left(L l < x>_t\right)_3 / 2,then we have the following.Theorem 1. For any eventually no-decreasing function φ : l,∞)→(0, ∞) \mathrmP\left(X_t>< X_t^1 / 2 \phi\left(< X>_t\right)\right. i.o. )=0 or 1 according as I(\phi)=\int_1^\infty \frac\phi^2(t)t \exp \left\-\frac\phi^2(t)2\right\< \infty or =\infty,Theorem 2. Let φ be asabove, then \mathrmP\left(\sup _0 \leq s \leq t\left|X_s\right| \leq\left\langle X>_t^1 / 2 / \phi\left(< X>_t\right)\right.\right., i.o. )=0 or 1,according as J(\phi)=\int_1^\infty \frac\phi^2(t)t \exp \left\-\frac\pi^2 \phi^2(t)8\right\< \infty or =\infty.

     

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