{
  "id": "1004.1478",
  "version": "v2",
  "published": "2010-04-09T07:21:25.000Z",
  "updated": "2013-02-04T11:18:26.000Z",
  "title": "Laplace approximation for rough differential equation driven by fractional Brownian motion",
  "authors": [
    "Yuzuru Inahama"
  ],
  "comment": "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",
  "doi": "10.1214/11-AOP733",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2013-02-04T11:18:26.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "rough differential equation driven",
      "fractional brownian motion",
      "laplace approximation",
      "hurst parameter",
      "laplace-type asymptotics"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1004.1478I"
    }
  }
}