Precise Laplace approximation for mixed rough differential equation

arXiv2206.05933MaRDI QIDQ6401871FDOQ6401871

Publication date: 13 June 2022

Abstract: This work focuses on the Laplace approximation for the rough differential equation (RDE) driven by mixed rough path with as . Firstly, based on geometric rough path lifted from mixed fractional Brownian motion (fBm), the Schilder-type large deviation principle (LDP) for the law of the first level path of the solution to the RDE is given. Due to the particularity of mixed rough path, the main difficulty in carrying out the Laplace approximation is to prove the Hilbert-Schmidt property for the Hessian matrix of the It^o map restricted on the Cameron-Martin space of the mixed fBm. To this end, we imbed the Cameron-Martin space into a larger Hilbert space, then the Hessian is computable. Subsequently, the probability representation for the Hessian is shown. Finally, the Laplace approximation is constructed, which asserts the more precise asymptotics in the exponential scale.

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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