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arXiv · 1004.1478

Laplace approximation for rough differential equation driven by fractional Brownian motion

Yuzuru Inahama
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Abstract

We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter $H$ ($1/4<H<1/2$), we prove the Laplace-type asymptotics for the solution as the parameter $\varepsilon$ tends to zero.

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Yuzuru Inahama. 2013-02-04. Laplace approximation for rough differential equation driven by fractional Brownian motion. https://doi.org/10.1214/11-aop733

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