A stochastic taylor-like expansion in the rough path theory

Yuzuru Inahama

doi:10.1007/s10959-010-0287-6

A stochastic taylor-like expansion in the rough path theory

Yuzuru Inahama

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

In this paper, we establish a Taylor-like expansion in the context of rough path theory for a family of Itô maps indexed by a small parameter. We treat not only the case that the roughness p satisfies [p]=2, but also the case that [p]≥3. As an application, we discuss the Laplace asymptotics for Itô functionals of Brownian rough paths.

Original language	English
Pages (from-to)	671-714
Number of pages	44
Journal	Journal of Theoretical Probability
Volume	23
Issue number	3
DOIs	https://doi.org/10.1007/s10959-010-0287-6
Publication status	Published - 2010
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Mathematics(all)
Statistics, Probability and Uncertainty

Access to Document

10.1007/s10959-010-0287-6

Fingerprint Dive into the research topics of 'A stochastic taylor-like expansion in the rough path theory'. Together they form a unique fingerprint.

Cite this

@article{9c2f6466bc454fddaeb7033c405c94cc,

title = "A stochastic taylor-like expansion in the rough path theory",

abstract = "In this paper, we establish a Taylor-like expansion in the context of rough path theory for a family of It{\^o} maps indexed by a small parameter. We treat not only the case that the roughness p satisfies [p]=2, but also the case that [p]≥3. As an application, we discuss the Laplace asymptotics for It{\^o} functionals of Brownian rough paths.",

author = "Yuzuru Inahama",

year = "2010",

doi = "10.1007/s10959-010-0287-6",

language = "English",

volume = "23",

pages = "671--714",

journal = "Journal of Theoretical Probability",

issn = "0894-9840",

publisher = "Springer New York",

number = "3",

}

TY - JOUR

T1 - A stochastic taylor-like expansion in the rough path theory

AU - Inahama, Yuzuru

PY - 2010

Y1 - 2010

N2 - In this paper, we establish a Taylor-like expansion in the context of rough path theory for a family of Itô maps indexed by a small parameter. We treat not only the case that the roughness p satisfies [p]=2, but also the case that [p]≥3. As an application, we discuss the Laplace asymptotics for Itô functionals of Brownian rough paths.

AB - In this paper, we establish a Taylor-like expansion in the context of rough path theory for a family of Itô maps indexed by a small parameter. We treat not only the case that the roughness p satisfies [p]=2, but also the case that [p]≥3. As an application, we discuss the Laplace asymptotics for Itô functionals of Brownian rough paths.

UR - http://www.scopus.com/inward/record.url?scp=77954762368&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=77954762368&partnerID=8YFLogxK

U2 - 10.1007/s10959-010-0287-6

DO - 10.1007/s10959-010-0287-6

M3 - Article

AN - SCOPUS:77954762368

VL - 23

SP - 671

EP - 714

JO - Journal of Theoretical Probability

JF - Journal of Theoretical Probability

SN - 0894-9840

IS - 3

ER -