LAPLACE APPROXIMATION FOR ROUGH DIFFERENTIAL EQUATION DRIVEN BY FRACTIONAL BROWNIAN MOTION

• 成果类型: Article
• 署名作者: Inahama, Yuzuru
• 署名单位: Nagoya University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/11-AOP733
• 发表日期: 2013
• 页码: 170-205
• 关键词: asymptotic expansions; functionals; THEOREM

摘要

We consider a rough differential equation indexed by a small parameter epsilon > 0. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter H (1/4 < H < 1/2), we prove the Laplace-type asymptotics for the solution as the parameter 8 tends to zero.