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Consider a Brownian motion $B$ and let $f(r)=\sqrt{2r \ln(\ln(r))}.$

Is it true that $\lim_{r \to +\infty}\frac{1}{f(r)}(B_r-B_{\left \lfloor{f(r)}\right \rfloor})= 0$ a.s. ?

If so, how to prove it? Otherwise what counter-example do you suggest ?

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  • $\begingroup$ It looks like you must have meant something else, as it makes little sense to compare $B_r$ with $B_{\lfloor f(r)\rfloor}$: these are completely different scales, and the floor function looks artificial here. $\endgroup$ Commented Nov 20, 2021 at 9:45

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no, the second term is basically $B_t/t$ which (proabably) does go to 0, but the first is governed by the law of the iterated logarithm and does not. In fact, you know that limsup of that term is 1.

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