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Could someone give some advice in order to study $$\underset{t\to\infty}{\operatorname{a.e.-lim}} \frac {1}{t} \int_0 ^ t W_s ~ds,$$ where $(W_t)_{t\geq 0}$ is a standard brownian motion starting at zero ?

Thank's in advance.

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  • $\begingroup$ What's the definition of $W_s$. $\endgroup$ – Mhenni Benghorbal May 27 '13 at 17:48
  • $\begingroup$ @MhenniBenghorbal: $W_s$ si a brownian motion as writen $\endgroup$ – Paul May 27 '13 at 17:57
  • $\begingroup$ what do you mean by ps-lim? $\endgroup$ – Tim May 27 '13 at 18:24
  • $\begingroup$ @Tim: Sorry! I was thinking in french so ps (presque sure) means a.e. (almost ever). Edited $\endgroup$ – Paul May 27 '13 at 18:28
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    $\begingroup$ For fixed $t$, the integral is normally distributed with mean zero and variance of order $t^3$, so $\frac{1}{t}$ times the integral is normal with variance of order $t$. I don't think this limit exists. $\endgroup$ – Chris Janjigian May 27 '13 at 19:19
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I'll turn my comment above into an answer. Call $X_t = \frac{1}{t} \int_0^t W_s ds$. We claim that the family $\{ X_t\}$ is not tight and therefore cannot converge in distribution (and hence cannot converge almost surely). This is easy to see, since $X_t$ is Gaussian with mean zero and variance of order $t$. Therefore, for any compact set $K$ $P ( X_t \in K) \to 0$ as $t \to \infty$.

As Did suggested, a little more work gets a stronger result. Clearly, for any $M$ the event $A = \{\limsup_{t \to \infty} X(t) > M \}$ is a tail event in the sigma algebra of the Brownian motion $W_s$. Therefore $P(A) \in \{0,1 \}$. An explicit computation using the normality above gives that $P(X(t) > M) \to \frac{1}{2}$ as $t \to \infty$ and (the reverse) Fatou's lemma then gives that $P(A) \geq \frac{1}{2}$, so $P(A) = 1$. Therefore $P(\{\limsup_{t \to \infty} X(t) = \infty \}) = 1$. Symmetry gives that $P(\{\liminf_{t \to \infty} X(t) = - \infty \}) = 1$. As a result, the limit almost surely does not exist.

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