Moderate deviation principle for multiscale systems driven by fractional Brownian motion
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Cites work
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- Large deviations and importance sampling for systems of slow-fast motion
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- Long memory in continuous-time stochastic volatility models
- Mixed stochastic differential equations: existence and uniqueness result
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- Short-time at-the-money skew and rough fractional volatility
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- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- Stochastic version of the averaging principle for diffusion type processes
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- The Malliavin Calculus and Related Topics
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Cited in
(7)- Moderate deviations for two-time scale systems with mixed fractional Brownian motion
- Moderate deviations for rough differential equations
- Large deviation principle for slow-fast systems with infinite-dimensional mixed fractional Brownian motion
- Large and moderate deviation principles for path-distribution dependent SDEs driven by mixed fractional Brownian motion
- Large deviation principle for multi-scale distribution-dependent stochastic differential equations driven by fractional Brownian motions
- Averaging principle for slow-fast systems of rough differential equations via controlled paths
- Asymptotic behaviors for distribution dependent stochastic partial differential equations driven by fractional Brownian motion
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