Large Deviation Principle for Enhanced Gaussian Processes
Probability
2007-05-23 v2
Abstract
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hoelder- or modulus topology, appears as special case.
Cite
@article{arxiv.math/0512213,
title = {Large Deviation Principle for Enhanced Gaussian Processes},
author = {Peter Friz and Nicolas Victoir},
journal= {arXiv preprint arXiv:math/0512213},
year = {2007}
}
Comments
minor corrections; this version to appear in Annales de l'I.H.P