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2009 On the small deviation problem for some iterated processes
Frank Aurzada, Mikhail Lifshits
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Electron. J. Probab. 14: 1992-2010 (2009). DOI: 10.1214/EJP.v14-689

Abstract

We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for n-iterated Brownian motions and, more generally, for the iteration of n fractional Brownian motions. We also give a new and correct proof of some results in E. Nane, Electron. J. Probab. 11 (2006), no. 18, 434--459.

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Frank Aurzada. Mikhail Lifshits. "On the small deviation problem for some iterated processes." Electron. J. Probab. 14 1992 - 2010, 2009. https://doi.org/10.1214/EJP.v14-689

Information

Accepted: 28 September 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1190.60016
MathSciNet: MR2550290
Digital Object Identifier: 10.1214/EJP.v14-689

Subjects:
Primary: 60G18
Secondary: 60F99, 60G12, 60G52

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