Moderate deviations for rough differential equations
Probability
2024-03-27 v3
Abstract
Small noise problems are quite important for all types of stochastic differential equations. In this paper we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter H between 1/4 and 1/2. We prove a moderate deviation principle for this equation as the scale parameter tends to zero.
Keywords
Cite
@article{arxiv.2308.01591,
title = {Moderate deviations for rough differential equations},
author = {Yuzuru Inahama and Yong Xu and Xiaoyu Yang},
journal= {arXiv preprint arXiv:2308.01591},
year = {2024}
}
Comments
Minor errors were corrected. 12 pages, no figures