Laplace approximation for rough differential equation driven by fractional Brownian motion
classification
🧮 math.PR
keywords
differentialequationparameterroughbrowniandrivenfractionalmotion
read the original abstract
We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. 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 $\varepsilon$ tends to zero.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.