Kolmogorov complexity and strong approximation of Brownian motion

Abstract

Brownian motion and scaled and interpolated simple random walk can be jointly embedded in a probability space in such a way that almost surely the $n$-step walk is within a uniform distance $O(n^{-1/2}\log n)$ of the Brownian path for all but finitely many positive integers $n$. Almost surely this $n$-step walk will be incompressible in the sense of Kolmogorov complexity, and all {Martin-Löf random} paths of Brownian motion have such an incompressible close approximant. This strengthens a result of Asarin, who obtained the bound $O(n^{-1/6}\log n)$. The result cannot be improved to $o(n^{-1/2}\sqrt{\log n})$.

References in corpus (1)

• Effective dimension of points visited by Brownian motion