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Law of the iterated logarithm and local variations at zero of the sticky Brownian motion

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  • Amir, Madjid
  • Knight, Frank B.

Abstract

We obtain for the sticky Brownian motion local properties analogous to the law of the iterated logarithm for the standard Brownian motion.

Suggested Citation

  • Amir, Madjid & Knight, Frank B., 1995. "Law of the iterated logarithm and local variations at zero of the sticky Brownian motion," Statistics & Probability Letters, Elsevier, vol. 23(3), pages 289-295, May.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:3:p:289-295
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    References listed on IDEAS

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    1. Amir, Madjid, 1991. "Sticky Brownian motion as the strong limit of a sequence of random walks," Stochastic Processes and their Applications, Elsevier, vol. 39(2), pages 221-237, December.
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