Quasi-sure existence of Gaussian rough paths and large deviation principles for capacities

zbMATH Open1362.60038arXiv1309.0835MaRDI QIDQ342968FDOQ342968

Authors: X. Geng, Horatio Boedihardjo, Zhongmin Qian 

Publication date: 18 November 2016

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Abstract: We construct a quasi-sure version (in the sense of Malliavin) of geometric rough paths associated with a Gaussian process with long-time memory. As an application we establish a large deviation principle (LDP) for capacities for such Gaussian rough paths. Together with Lyons' universal limit theorem, our results yield immediately the corresponding results for pathwise solutions to stochastic differential equations driven by such Gaussian process in the sense of rough paths. Moreover, our LDP result implies the result of Yoshida on the LDP for capacities over the abstract Wiener space associated with such Gaussian process.

Full work available at URL: https://arxiv.org/abs/1309.0835

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zbMATH Keywords

Gaussian processlarge deviation principlerough pathscapacities

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Strong limit theorems (60F15) Sample path properties (60G17)

Cited In (10)

• Fine properties of fractional Brownian motions on Wiener space
• Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
• Large deviation principle for enhanced Gaussian processes
• A quasi-sure non-degeneracy property for the Brownian rough path
• Large deviations and support theorem for diffusion processes via rough paths.
• QUASI-SURE EXISTENCE OF BROWNIAN ROUGH PATHS AND A CONSTRUCTION OF BROWNIAN PANTS
• Large deviation principle for fractional Brownian motion with respect to capacity
• Large deviation principle for certain spatially lifted Gaussian rough path
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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