Laplace approximation for rough differential equation driven by fractional Brownian motion

Details Laplace approximation for rough differential equation driven by fractional Brownian motion Laplace approximation for rough differential equation driven by fractional Brownian motion

2010-04-09

arxiv.org/abs/1004.1478v1

Mathematics

Probability

Scientific paper

We consider a rough differential equation indexed by a small parameter
$\epsilon >0$. When the rough differential equation is driven by fractional
Brownian motion with Hurst parameter $H$ ($1/4 Laplace-type asymptotics for the solution as the parameter $\epsilon$ tends to
zero.

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