A large deviation principle in Hölder norm for multiple fractional integrals
| dc.creator | Sanz-Solé, Marta | |
| dc.creator | Torrecilla-Tarantino, Iván | |
| dc.date | 2007-02-02 | |
| dc.date.accessioned | 2026-07-07T07:44:31Z | |
| dc.date.available | 2026-07-07T07:44:31Z | |
| dc.description | For a fractional Brownian motion $B^H$ with Hurst parameter $H\in]{1/4},{1/2}[\cup]{1/2},1[$, multiple indefinite integrals on a simplex are constructed and the regularity of their sample paths are studied. Then, it is proved that the family of probability laws of the processes obtained by replacing $B^H$ by $ε^{1/2} B^H$ satisfies a large deviation principle in Hölder norm. The definition of the multiple integrals relies upon a representation of the fractional Brownian motion in terms of a stochastic integral with respect to a standard Brownian motion. For the large deviation principle, the abstract general setting given by Ledoux in [Lecture Notes in Math., vol. 1426 (1990) 1-14] is used. | |
| dc.description | 23 pages | |
| dc.identifier | https://arxiv.org/abs/math/0702049 | |
| dc.identifier | http://arxiv.org/abs/math/0702049 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/123224 | |
| dc.subject | Probability | |
| dc.subject | 60F10, 60G17, 60G15 (Primary); 60H07, 60H05 (Secondary) | |
| dc.title | A large deviation principle in Hölder norm for multiple fractional integrals | |
| dc.type | text |