Large deviations for rough paths of the fractional Brownian motion

Simple item page
dc.creatorMillet, Annie
dc.creatorSanz-Solé, Marta
dc.date2004-12-09
dc.date.accessioned2026-07-07T06:33:41Z
dc.date.available2026-07-07T06:33:41Z
dc.descriptionStarting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$ given by Coutin and Qian (2002), we prove a large deviation principle in the space of geometric rough paths, extending classical results on Gaussian processes. As a by-product, geometric rough paths associated to elements of the reproducing kernel Hilbert space of the fractional Brownian motion are obtained and an explicit integral representation is given.
dc.description32 pages
dc.identifierhttps://arxiv.org/abs/math/0412200
dc.identifierhttp://arxiv.org/abs/math/0412200
dc.identifierdoi:10.1016/j.anihpb.2005.04.003
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/99281
dc.subjectProbability
dc.subject60G15; 60F10
dc.titleLarge deviations for rough paths of the fractional Brownian motion
dc.typetext

Files

Collections

arXiv