Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths (Q868933)
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scientific article; zbMATH DE number 5129776
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| English | Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths |
scientific article; zbMATH DE number 5129776 |
Statements
Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths (English)
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26 February 2007
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By using a large deviation principle and the stochastic Taylor expansion with respect to the topology of the space of geometric rough paths, the asymptotic expansions are established for the Laplace approximations for Itô functionals of Brownian rough paths provided the phase function has finitely many non-degenerate minima.
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asymptotic expansions
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Laplace approximation
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Itô functional
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rough path
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0.8803677558898926
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0.838932991027832
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0.8346216678619385
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0.7866122126579285
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