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 Electronic Journal of Probability > Vol. 14 (2009) > Paper 68 open journal systems 


On the small deviation problem for some iterated processes

Frank Aurzada, Technische Universität Berlin
Mikhail Lifshits, St. Petersburg State University


Abstract
We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for n-iterated Brownian motions and, more generally, for the iteration of n fractional Brownian motions. We also give a new and correct proof of some results in E. Nane, Electron. J. Probab. 11 (2006), no. 18, 434--459.


Full text: PDF

Pages: 1992-2010

Published on: September 28, 2009
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Electronic Journal of Probability. ISSN: 1083-6489