The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion (Q1899269)
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scientific article; zbMATH DE number 803389
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion |
scientific article; zbMATH DE number 803389 |
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The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion (English)
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14 November 1995
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Let \(W\) and \(B\) be independent Wiener processes and \(X(t) = W(B(t))\), \(t \geq 0\). Then a.s. \[ \lim_{h \to 0} {(\log (1/h))^{3/4}\over h^{1/4}} \inf_{t \leq 1 - h} \sup_{0 \leq s \leq h} |X(t + s) - X(t)|= {\pi^{3/2}\over 2}. \]
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iterated Brownian motion
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modulus of non-differentiability
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