Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos
Probability
2016-11-14 v2
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.
Keywords
Cite
@article{arxiv.1309.0705,
title = {Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos},
author = {Daniel Dobbs and Tai Melcher},
journal= {arXiv preprint arXiv:1309.0705},
year = {2016}
}
Comments
23 pages