A stochastic Taylor-like expansion in the rough path theory
Probability
2010-04-12 v1
Abstract
In this paper we establish a Taylor-like expansion in the context of the rough path theory for a family of It ^{o} maps indexed by a small parameter. We treat not only the case that the roughness satisfies , but also the case that . As an application, we discuss the Laplace asymptotics for It^{o} functionals of Brownian rough paths.
Cite
@article{arxiv.1004.1476,
title = {A stochastic Taylor-like expansion in the rough path theory},
author = {Yuzuru Inahama},
journal= {arXiv preprint arXiv:1004.1476},
year = {2010}
}