A stochastic taylor-like expansion in the rough path theory

Yuzuru Inahama

Research output: Contribution to journal › Article

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 - May 3 2010
Externally publishedYes

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Rough Paths
Laplace
Small Parameter
Roughness
Context
Family

All Science Journal Classification (ASJC) codes

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

Cite this

A stochastic taylor-like expansion in the rough path theory. / Inahama, Yuzuru.

In: Journal of Theoretical Probability, Vol. 23, No. 3, 03.05.2010, p. 671-714.

Research output: Contribution to journal › Article

Inahama, Y 2010, 'A stochastic taylor-like expansion in the rough path theory', Journal of Theoretical Probability, vol. 23, no. 3, pp. 671-714. https://doi.org/10.1007/s10959-010-0287-6
Inahama Y. A stochastic taylor-like expansion in the rough path theory. Journal of Theoretical Probability. 2010 May 3;23(3):671-714. https://doi.org/10.1007/s10959-010-0287-6
Inahama, Yuzuru. / A stochastic taylor-like expansion in the rough path theory. In: Journal of Theoretical Probability. 2010 ; Vol. 23, No. 3. pp. 671-714.
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