A stochastic Taylor-like expansion in the rough path theory (Q1960239): Difference between revisions

For a family of Ito maps indexed by a small parameter a Taylor expansion in the context of rough path theory is established. There are treated several cases of the roughness \(p\) including \(p=2,3,\dots\). As an application, the Laplace asymptotics for Ito functionals of Brownian rough paths is analyzed.

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zbMATH Keywords

rough path

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Taylor expansion

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reviewed by

Constantin Vârsan

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MaRDI profile type

MaRDI publication profile

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cites work

Semi-classical limit of the bottom of spectrum of a Schrödinger operator on a path space over a compact Riemannian manifold

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Operators associated with a stochastic differential equation driven by fractional Brownian motions

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Methods de laplace et de la phase stationnaire sur l'espace de wiener

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Stochastic analysis, rough path analysis and fractional Brownian motions.

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Good rough path sequences and applications to anticipating stochastic calculus

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Euler estimates for rough differential equations

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Differential equations driven by Gaussian signals

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Laplace's method for the laws of heat processes on loop spaces

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Laplace approximation for rough differential equation driven by fractional Brownian motion

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LARGE DEVIATIONS FOR HEAT KERNEL MEASURES ON LOOP SPACES VIA ROUGH PATHS

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Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths

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Precise asymptotics of certain Wiener functionals

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Asymptotics of certain wiener functionals with degenerate extrema

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Lévy area of Wiener processes in Banach spaces

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Large deviations and support theorem for diffusion processes via rough paths.

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System Control and Rough Paths

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Large deviations for rough paths of the fractional Brownian motion

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The Laplace method for probability measures in Banach spaces

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Q4279828

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Identifiers

zbMATH Open document ID

1203.60073

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DOI

10.1007/s10959-010-0287-6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1960239

@@ Property / reviewed by @@
-Constantin Vârsan
@@ Property / reviewed by: Constantin Vârsan / rank @@
-Normal rank
@@ Property / reviewed by @@
+Constantin Vârsan
@@ Property / reviewed by: Constantin Vârsan / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2005218525
@@ Property / OpenAlex ID: W2005218525 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1476
@@ Property / arXiv ID: 1004.1476 / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-classical limit of the bottom of spectrum of a Schrödinger operator on a path space over a compact Riemannian manifold
+Normal rank
@@ Property / cites work @@
+Operators associated with a stochastic differential equation driven by fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Methods de laplace et de la phase stationnaire sur l'espace de wiener
+Normal rank
@@ Property / cites work @@
+Stochastic analysis, rough path analysis and fractional Brownian motions.
+Normal rank
@@ Property / cites work @@
+Good rough path sequences and applications to anticipating stochastic calculus
+Normal rank
@@ Property / cites work @@
+Euler estimates for rough differential equations
@@ Property / cites work: Euler estimates for rough differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by Gaussian signals
@@ Property / cites work: Differential equations driven by Gaussian signals / rank @@
+Normal rank
@@ Property / cites work @@
+Laplace's method for the laws of heat processes on loop spaces
+Normal rank
@@ Property / cites work @@
+Laplace approximation for rough differential equation driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+LARGE DEVIATIONS FOR HEAT KERNEL MEASURES ON LOOP SPACES VIA ROUGH PATHS
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths
+Normal rank
@@ Property / cites work @@
+Precise asymptotics of certain Wiener functionals
@@ Property / cites work: Precise asymptotics of certain Wiener functionals / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics of certain wiener functionals with degenerate extrema
+Normal rank
@@ Property / cites work @@
+Lévy area of Wiener processes in Banach spaces
@@ Property / cites work: Lévy area of Wiener processes in Banach spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations and support theorem for diffusion processes via rough paths.
+Normal rank
@@ Property / cites work @@
+System Control and Rough Paths
@@ Property / cites work: System Control and Rough Paths / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for rough paths of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+The Laplace method for probability measures in Banach spaces
+Normal rank
@@ Property / cites work @@
+Q4279828
@@ Property / cites work: Q4279828 / rank @@
+Normal rank