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