The Onsager-Machlup functional associated with additive fractional noise

arXiv1705.08976MaRDI QIDQ6287083FDOQ6287083

Authors: Yohaï Maayan 

Publication date: 24 May 2017

Abstract: We consider the solution of a stochastic differential equation with additive multidimensional fractional noise. In the case $frac14<H<frac12$, we compute the Onsager-Machlup functional (with respect to the driving fractional Brownian motion) for the supremum norm and the H"older norms with exponent $alphainleft(0,H-frac14ight)$ for any element of the Cameron-Martin space $mathcal{H}_H$, extending a previous result of Moret and Nualart. In the more general case $H<frac12$ and $alphainleft(0,Hight)$, we formulate a condition on $hinmathcal{H}_H$ under which the computation of the Onsager-Machlup functional $Jleft(hight)$ follows.

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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