The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion
type: Item
instance of: scholarly article
title: The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion
zbMATH Open document ID: 0833.60033
DOI: 10.1016/0304-4149(95)00018-3
author: Zhan Shi
author: Yueyun Hu
published in: Stochastic Processes and their Applications
publication date: 1995-11-14T00:00:00Z
review text: Let \(W\) and \(B\) be independent Wiener processes and \(X(t) = W(B(t))\), \(t \geq 0\). Then a.s. \[ \lim_{h \to 0} {(\log (1/h))^{3/4}\over h^{1/4}} \inf_{t \leq 1 - h} \sup_{0 \leq s \leq h} |X(t + s) - X(t)|= {\pi^{3/2}\over 2}. \]
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60G17
zbMATH DE Number: 803389
zbMATH Keywords: iterated Brownian motion
zbMATH Keywords: modulus of non-differentiability
reviewed by: Heinrich Hering
MaRDI profile type: Publication
full work available at URL: 0304-4149(95)00018-3
OpenAlex ID: W1963580800
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description: scientific article; zbMATH DE number 803389