Laplace approximation for rough differential equation driven by fractional Brownian motion

• Autores: Yuzuru Inahama
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 41, Nº. 1, 2013, págs. 170-205
• Idioma: inglés
• DOI: 10.1214/11-AOP733
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• Resumen

  • 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 ε tends to zero.