Brownian upper law of the iterated logarithm

ID: brownian-upper-law-of-the-iterated-logarithm

For standard Brownian motion, the Brownian reflection principle bounds the probability that its maximum up to exceeds by . This is summable for every and . The Borel-Cantelli first lemma controls these geometric times, monotonicity of the normalizing function controls the intervening times, and countable choices , give the bound. Equality requires a separate lower-bound proof.

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