Laplace approximation for rough differential equation driven by fractional Brownian motion

Yuzuru Inahama

doi:10.1214/11-AOP733

Laplace approximation for rough differential equation driven by fractional Brownian motion

Yuzuru Inahama

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

8 Citations (Scopus)

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	https://doi.org/10.1214/11-AOP733
Publication status	Published - Jan 2013
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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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.",

author = "Yuzuru Inahama",

year = "2013",

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doi = "10.1214/11-AOP733",

language = "English",

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Laplace approximation for rough differential equation driven by fractional Brownian motion

Abstract

All Science Journal Classification (ASJC) codes

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