Large deviations for rough paths of the fractional brownian motion

Annie Millet; Marta Sanz-Solé

Annales de l'I.H.P. Probabilités et statistiques (2006)

  • Volume: 42, Issue: 2, page 245-271
  • ISSN: 0246-0203

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Millet, Annie, and Sanz-Solé, Marta. "Large deviations for rough paths of the fractional brownian motion." Annales de l'I.H.P. Probabilités et statistiques 42.2 (2006): 245-271. <http://eudml.org/doc/77896>.

@article{Millet2006,
author = {Millet, Annie, Sanz-Solé, Marta},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {geometric rough path; fractional Brownian motion; large deviation principle},
language = {eng},
number = {2},
pages = {245-271},
publisher = {Elsevier},
title = {Large deviations for rough paths of the fractional brownian motion},
url = {http://eudml.org/doc/77896},
volume = {42},
year = {2006},
}

TY - JOUR
AU - Millet, Annie
AU - Sanz-Solé, Marta
TI - Large deviations for rough paths of the fractional brownian motion
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2006
PB - Elsevier
VL - 42
IS - 2
SP - 245
EP - 271
LA - eng
KW - geometric rough path; fractional Brownian motion; large deviation principle
UR - http://eudml.org/doc/77896
ER -

References

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  7. [7] A. Dembo, O. Zeitouni, Large Deviations Techniques and Applications, Appl. Math., vol. 38, Springer-Verlag, 1998. Zbl0896.60013MR1619036
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  9. [9] P. Fritz, N. Victoir, Approximations of the Brownian rough path with applications to stochastic analysis, prepublication, arXiv, math.PR/0308238, Ann. Inst. H. Poincaré, in press. Zbl1080.60021
  10. [10] M. Ledoux, M. Talagrand, Probability in Banach Spaces, Springer-Verlag, 1991. Zbl0748.60004MR1102015
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  12. [12] M. Ledoux, Z. Qian, T. Zhang, Large deviations and support theorem for diffusion processes via rough paths, Stochastic Proccess. Appl.102 (2002) 265-283. Zbl1075.60510MR1935127
  13. [13] A. Lejay, An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Lecture Notes in Math., vol. 1832, Springer, Berlin, 2003, pp. 1-59. Zbl1041.60051MR2053040
  14. [14] T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana14 (1998) 215-310. Zbl0923.34056MR1654527
  15. [15] T. Lyons, Z. Qian, System Control and Rough Paths, Oxford Math. Monographs, Oxford Science Publications, Clarendon Press, Oxford, 2002. Zbl1029.93001MR2036784
  16. [16] B.B. Mandelbrot, J.W. Van Ness, Fractional Brownian motions, fractional noises and applications, SIAM Rev.10 (1968) 422-437. Zbl0179.47801MR242239

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