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Large Deviation Principle for Enhanced Gaussian Processes

Peter Friz·Nicolas Victoir
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Abstract

We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hoelder- or modulus topology, appears as special case.

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Peter Friz, Nicolas Victoir. 2006-11-23. Large Deviation Principle for Enhanced Gaussian Processes. https://arxiv.org/abs/math/0512213

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