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arXiv · 1807.06891

Large deviation principle for fractional Brownian motion with respect to capacity

Jiawei Li·Zhongmin Qian
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Abstract

We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter $H\geq\frac{1}{2}$ is a quasi-surely defined Wiener functional on classical Wiener space,and we establish the large deviation principle(LDP) for such fBM with respect to $(p,r)$-capacity on classical Wiener space in Malliavin's sense.

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Jiawei Li, Zhongmin Qian. 2018-07-18. Large deviation principle for fractional Brownian motion with respect to capacity. https://doi.org/10.1007/s11118-020-09844-6

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