A large deviation principle in Hölder norm for multiple fractional integrals

Marta Sanz-Solé, Iván Torrecilla-Tarantino

Published 2007-02-02Version 1

For a fractional Brownian motion $B^H$ with Hurst parameter $H\in]{1/4},{1/2}[\cup]{1/2},1[$, multiple indefinite integrals on a simplex are constructed and the regularity of their sample paths are studied. Then, it is proved that the family of probability laws of the processes obtained by replacing $B^H$ by $\epsilon^{{1/2}} B^H$ satisfies a large deviation principle in H\"older norm. The definition of the multiple integrals relies upon a representation of the fractional Brownian motion in terms of a stochastic integral with respect to a standard Brownian motion. For the large deviation principle, the abstract general setting given by Ledoux in [Lecture Notes in Math., vol. 1426 (1990) 1-14] is used.