Abstract
We consider a rough differential equation indexed by a small parameter ε > 0. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter H (1/4 < H < 1/2), we prove the Laplace-type asymptotics for the solution as the parameter e tends to zero.
| Original language | English |
|---|---|
| Pages (from-to) | 170-205 |
| Number of pages | 36 |
| Journal | Annals of Probability |
| Volume | 41 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jan 2013 |
| Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty