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arXiv · 1406.7180

Moderate deviations and Strassen's law for additive processes

Franziska Kühn·René L. Schilling
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Abstract

We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's functional law of the iterated logarithm. In particular, we show that any square-integrable Lévy process satisfies Strassen's law.

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Franziska Kühn, René L. Schilling. 2014-10-13. Moderate deviations and Strassen's law for additive processes. https://doi.org/10.1007/s10959-014-0584-6

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