Laplace approximation for rough differential equation driven by fractional Brownian motion
Probability
2013-02-05 v2
Abstract
We consider a rough differential equation indexed by a small parameter . When the rough differential equation is driven by fractional Brownian motion with Hurst parameter (), we prove the Laplace-type asymptotics for the solution as the parameter tends to zero.
Cite
@article{arxiv.1004.1478,
title = {Laplace approximation for rough differential equation driven by fractional Brownian motion},
author = {Yuzuru Inahama},
journal= {arXiv preprint arXiv:1004.1478},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AOP733 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)