Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos

Daniel Dobbs; Tai Melcher

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arXiv · 1309.0705

Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos

Daniel Dobbs·Tai Melcher

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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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Daniel Dobbs, Tai Melcher. 2013-09-03. Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos. https://arxiv.org/abs/1309.0705

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