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2014 Small deviations for time-changed Brownian motions and applications to second-order chaos
Daniel Dobbs, Tai Melcher
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Electron. J. Probab. 19: 1-23 (2014). DOI: 10.1214/EJP.v19-2993

Abstract

We prove strong small deviations results for Brownian motion under independent time-changes satisfying their own asymptotic criteria. We then apply these results to certain stochastic integrals which are elements of second-order homogeneous chaos.

Citation

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Daniel Dobbs. Tai Melcher. "Small deviations for time-changed Brownian motions and applications to second-order chaos." Electron. J. Probab. 19 1 - 23, 2014. https://doi.org/10.1214/EJP.v19-2993

Information

Accepted: 16 September 2014; Published: 2014
First available in Project Euclid: 4 June 2016

zbMATH: 1329.60087
MathSciNet: MR3263642
Digital Object Identifier: 10.1214/EJP.v19-2993

Subjects:
Primary: 60G15
Secondary: 60F17, 60G51

JOURNAL ARTICLE
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Vol.19 • 2014
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