A stochastic taylor-like expansion in the rough path theory

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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 languageEnglish
Pages (from-to)671-714
Number of pages44
JournalJournal of Theoretical Probability
Volume23
Issue number3
DOIs
Publication statusPublished - 2010
Externally publishedYes

All Science Journal Classification (ASJC) codes

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

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