Small deviations for time-changed Brownian motions and applications to second-order chaos

DOI10.1214/EJP.V19-2993zbMATH Open1329.60087arXiv1309.0705MaRDI QIDQ743518FDOQ743518

Authors: Daniel Dobbs, Tai Melcher 

Publication date: 24 September 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1309.0705

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zbMATH Keywords

small deviationsstochastic integralshomogeneous chaostime-changed Brownian motions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Gaussian processes (60G15) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Limit theorems in probability theory (60F99) Stochastic integrals (60H05)

Cited In (5)

• Small ball probabilities, metric entropy and Gaussian rough paths
• Small deviations and Chung's law of iterated logarithm for a hypoelliptic Brownian motion on the Heisenberg group
• Small ball probabilities for a class of time-changed self-similar processes
• A study of chaos for processes under small perturbations II: Rigorous proof of chaos
• Instants of small amplitude of Brownian motion and application to the Kubilius model

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