Patrick, Cheridito, et al., Small time path behavior of double stochastic integrals and applications to stochastic control, Annals of applied probability , 15(4), 2005, pp. 2472-2495
We study the small time path behavior of double stochastic integrals of the form .0t(.0rb(u).dW(u))T.dW(r), where W is a d-dimensional Brownian motion and b is an integrable progressively measurable stochastic process taking values in the set of d.d-matrices. We prove a law of the iterated logarithm that holds for all bounded progressively measurable b and give additional results under continuity assumptions on b. As an application, we discuss a stochastic control problem that arises in the study of the super-replication of a contingent claim under gamma constraints.