A large deviation principle in H\"older norm for multiple fractional integrals
概率论
2007-05-23 v1
摘要
For a fractional Brownian motion with Hurst parameter , 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 by 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.
引用
@article{arxiv.math/0702049,
title = {A large deviation principle in H\"older norm for multiple fractional integrals},
author = {Marta Sanz-Solé and Iván Torrecilla-Tarantino},
journal= {arXiv preprint arXiv:math/0702049},
year = {2007}
}
备注
23 pages