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The Csörgo-Révész modulus of non-differentiability of iterated Brownian motion

Author

Listed:
  • Hu, Y.
  • Shi, Z.

Abstract

Khoshnevisan and Lewis (1994a) have recently established Lévy's modulus of continuity of iterated Brownian motion. In this note, we obtain the Csörgo-Révész modulus of non-differentiability.

Suggested Citation

  • Hu, Y. & Shi, Z., 1995. "The Csörgo-Révész modulus of non-differentiability of iterated Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 267-279, August.
    • Handle: RePEc:eee:spapps:v:58:y:1995:i:2:p:267-279
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    Cited by:

    1. Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál, 1997. "On the occupation time of an iterated process having no local time," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 199-217, October.
    2. Yimin Xiao, 1998. "Local Times and Related Properties of Multidimensional Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 11(2), pages 383-408, April.
    3. Neuenschwander, Daniel, 1998. "Law of the iterated logarithm for Lévy's area process composed with Brownian motion," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 371-377, November.
    4. Yueyun Hu, 1999. "Hausdorff and Packing Measures of the Level Sets of Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 12(2), pages 313-346, April.

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