Laplace approximation for rough differential equation driven by fractional Brownian motion
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Publication:1942114
DOI10.1214/11-AOP733zbMath1273.60043arXiv1004.1478WikidataQ115240877 ScholiaQ115240877MaRDI QIDQ1942114
Publication date: 15 March 2013
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.1478
fractional Brownian motion; Laplace approximation; rough path theory; Cameron-Martin space; rough differential equation; Laplace-type asymptotics of the solution
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60F17: Functional limit theorems; invariance principles
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