Yuzuru Inahama
Published 2010-04-09, updated 2013-02-04Version 2
We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter $H$ ($1/4<H<1/2$), we prove the Laplace-type asymptotics for the solution as the parameter $\varepsilon$ tends to zero.
Comments: Published in at http://dx.doi.org/10.1214/11-AOP733 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Journal: Annals of Probability 2013, Vol. 41, No. 1, 170-205
Estimation of Hurst Parameter of Fractional Brownian Motion Using CMARS Method
Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2
The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
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