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2013-09-03
Small Deviations for Time-Changed Brownian Motions and Applications to Second-Order Chaos
Daniel DobbsTai Melcher
文献摘要
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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