Laplace approximation for rough differential equation driven by fractional Brownian motion

DOI10.1214/11-AOP733zbMath1273.60043arXiv1004.1478OpenAlexW2015911319WikidataQ115240877 ScholiaQ115240877MaRDI QIDQ1942114

Yuzuru Inahama

Publication date: 15 March 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1478

zbMATH Keywords

fractional Brownian motionLaplace approximationrough path theoryCameron-Martin spacerough differential equationLaplace-type asymptotics of the solution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional limit theorems; invariance principles (60F17)

Related Items (11)

Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM ⋮ On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ Large deviation principle for fractional Brownian motion with respect to capacity ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ A stochastic Taylor-like expansion in the rough path theory ⋮ Rough path theory and stochastic calculus ⋮ Fractional stochastic partial differential equation for random tangent fields on the sphere ⋮ The rough path associated to the multidimensional analytic fBm with any Hurst parameter ⋮ Varadhan estimates for rough differential equations driven by fractional Brownian motions ⋮ Short-time near-the-money skew in rough fractional volatility models

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