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


 
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1. Title Title of document Small deviations for time-changed Brownian motions and applications to second-order chaos
 
2. Creator Author's name, affiliation, country Daniel Dobbs; Huntington University; United States
 
2. Creator Author's name, affiliation, country Tai Melcher; University of Virginia; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Small deviations; homogeneous chaos
 
3. Subject Subject classification 60G15;60G51;60F17
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF Grants DMS-0907293 and DMS-1255574
 
7. Date (YYYY-MM-DD) 2014-09-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2993
 
10. Identifier Digital Object Identifier 10.1214/EJP.v19-2993
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 19
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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