Large Deviation Principle for Enhanced Gaussian Processes

Details Large Deviation Principle for Enhanced Gaussian Processes Large Deviation Principle for Enhanced Gaussian Processes

2005-12-10

arxiv.org/abs/math/0512213v2

Mathematics

Probability

minor corrections; this version to appear in Annales de l'I.H.P

Scientific paper

We study large deviation principles for Gaussian processes lifted to the free
nilpotent group of step N. We apply this to a large class of Gaussian processes
lifted to geometric rough paths. A large deviation principle for enhanced
(fractional) Brownian motion, in Hoelder- or modulus topology, appears as
special case.

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