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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 BHB^H with Hurst parameter H]1/4,1/2[]1/2,1[H\in]{1/4},{1/2}[\cup]{1/2},1[, 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 BHB^H by ϵ1/2BH\epsilon^{{1/2}} B^H 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.

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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