A stochastic Taylor-like expansion in the rough path theory
From MaRDI portal
Publication:1960239
Abstract: In this paper we establish a Taylor-like expansion in the context of the rough path theory for a family of It ^{o} maps indexed by a small parameter. We treat not only the case that the roughness satisfies , but also the case that . As an application, we discuss the Laplace asymptotics for It^{o} functionals of Brownian rough paths.
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.
Recommendations
- On the Laplace-type asymptotics and the stochastic Taylor expansion for Itô functionals of Brownian rough paths
- Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths
- Pathwise Taylor expansions for Itô random fields
- New Itô--Taylor expansions
- Rough path theory and stochastic calculus
Cites work
- Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths
- Asymptotics of certain wiener functionals with degenerate extrema
- Differential equations driven by Gaussian signals
- Euler estimates for rough differential equations
- Good rough path sequences and applications to anticipating stochastic calculus
- scientific article; zbMATH DE number 503486 (Why is no real title available?)
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- Laplace's method for the laws of heat processes on loop spaces
- Large deviations and support theorem for diffusion processes via rough paths.
- LARGE DEVIATIONS FOR HEAT KERNEL MEASURES ON LOOP SPACES VIA ROUGH PATHS
- Large deviations for rough paths of the fractional Brownian motion
- Lévy area of Wiener processes in Banach spaces
- Methods de laplace et de la phase stationnaire sur l'espace de wiener
- Operators associated with a stochastic differential equation driven by fractional Brownian motions
- Precise asymptotics of certain Wiener functionals
- Semi-classical limit of the bottom of spectrum of a Schrödinger operator on a path space over a compact Riemannian manifold
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- System Control and Rough Paths
- The Laplace method for probability measures in Banach spaces
Cited in
(14)- Sensitivity of rough differential equations: an approach through the omega lemma
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
- Precise asymptotics: robust stochastic volatility models
- Pathwise Taylor expansions for random fields on multiple dimensional paths
- Rough path theory and stochastic calculus
- Integrability of (Non-)Linear Rough Differential Equations and Integrals
- Rough center manifolds
- ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION
- Short time full asymptotic expansion of hypoelliptic heat kernel at the cut locus
- On the Laplace-type asymptotics and the stochastic Taylor expansion for Itô functionals of Brownian rough paths
- Precise Laplace approximation for mixed rough differential equation
- Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths
- Regularity of the Itô-Lyons map
This page was built for publication: A stochastic Taylor-like expansion in the rough path theory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1960239)
