Open Access
2009 On the small deviation problem for some iterated processes
Frank Aurzada, Mikhail Lifshits
Author Affiliations +
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 and Mikhail Lifshits "On the small deviation problem for some iterated processes," Electronic Journal of Probability 14(none), 1992-2010, (2009). https://doi.org/10.1214/EJP.v14-689
Accepted: 28 September 2009; Published: 2009
Vol.14 • 2009
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