Small deviations for time-changed Brownian motions and applications to second-order chaos
Tai Melcher (University of Virginia)
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.
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Pages: 1-23
Publication Date: September 16, 2014
DOI: 10.1214/EJP.v19-2993
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