August 2014
Intermediate to advanced
424 pages
11h 25m
English
Content preview from Brownian Motion, 2nd Edition
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12 The growth of Brownian paths
In this chapter we study the question how fast a Brownian path grows as t → ∞. Since for a BM1 (B(t))t≥0, the process (tB(t-1))t>0, is again a Brownian motion, we get from the growth at infinity automatically local results for small t and vice versa. A first estimate follows from the strong law of large numbers. Write for no ≥ 1
and observe that the increments of a Brownian motion are stationary and independent random variables. By the strong law of large numbers we get that B(t, ω) ≤ єt for any ∈ > 0 and all t ≥ t0 (є, ω). Lévy’s modulus of continuity, Theorem 10.6, gives a better bound. For all ∈ > 0 and almost ...
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