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 | |
| Publication status | Published - 2010 |
| Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Mathematics(all)
- Statistics, Probability and Uncertainty