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Limit of a Wiener integral \lim _{\alpha \rightarrow \infty } |
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Limit of a Wiener integral \lim _{\alpha \rightarrow \infty }How to show that $$ \lim_{\alpha \rightarrow \infty } infty} \sup_{t \in \left [0,T \right]} \left | e^{-\alpha t} \int _ 0 ^t e^{\alpha s} ~ dB_s \right | =0, \ \ \text{a.e.} $$ text{a.e.}$$ where $\left (B_s \right)_{s\geq 0}$ is a real standard brownian motion starting from zero ? I'd like to have some ideas to deal with this problem. After all, I'll show some solutions that I propose and somme colegues also but that i believe be all wrong. (I just don't show know to don't interffer in your ideas. Thank you all. |
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How to show that $$ \lim {\alpha lim_{\alpha \rightarrow \infty } \sup{t sup_{t \in \left [0,T \right]} \left | e^{-\alpha t} \int _ 0 ^t e^{\alpha s} ~ dB_s \right | =0, \ \ \text{a.e.} $$ where $\left (B_s \right)_{s\geq 0}$ is a real standard brownian motion starting from zero ? I'd like to have some ideas to deal with this problem. After all, I'll show some solutions that I propose and somme colegues also but that i believe be all wrong. (I just don't show know to don't interffer in your ideas. Thank you all. |
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