Large deviation principle for fractional Brownian motion with respect to capacity
Probability
2025-06-11 v2
Abstract
We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter is a quasi-surely defined Wiener functional on classical Wiener space,and we establish the large deviation principle(LDP) for such fBM with respect to -capacity on classical Wiener space in Malliavin's sense.
Keywords
Cite
@article{arxiv.1807.06891,
title = {Large deviation principle for fractional Brownian motion with respect to capacity},
author = {Jiawei Li and Zhongmin Qian},
journal= {arXiv preprint arXiv:1807.06891},
year = {2025}
}