Large deviation principle for enhanced Gaussian processes

DOI10.1016/j.anihpb.2006.11.002zbMath1172.60306arXivmath/0512213OpenAlexW1969136851MaRDI QIDQ841512

Nicolas Victoir, Peter K. Friz

Publication date: 17 September 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0512213

zbMATH Keywords

fractional Brownian motionGaussian processeslarge deviation principlerough paths

Mathematics Subject Classification ID

Gaussian processes (60G15) Large deviations (60F10) Stochastic analysis (60H99)

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