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

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.

23 pages

References in corpus (1)

• A short note on small deviations of sequences of i.i.d. random variables with exponentially decreasing weights