Large deviation principle for fractional Brownian motion with respect to capacity
We show that the fractional Brownian motion (fBM) defined via the Volterra integral representation with Hurst parameter H≥12 is a quasi-surely defined Wiener functional on the classical Wiener space, and we establish the large deviation principle (LDP) for such an fBM with respect to (p,r)-capacity...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Springer
2020
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| _version_ | 1826277442275246080 |
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| author | Jiawei, L Qian, Z |
| author_facet | Jiawei, L Qian, Z |
| author_sort | Jiawei, L |
| collection | OXFORD |
| description | We show that the fractional Brownian motion (fBM) defined via the Volterra integral representation with Hurst parameter H≥12 is a quasi-surely defined Wiener functional on the classical Wiener space, and we establish the large deviation principle (LDP) for such an fBM with respect to (p,r)-capacity on the classical Wiener space in Malliavin’s sense. |
| first_indexed | 2024-03-06T23:28:57Z |
| format | Journal article |
| id | oxford-uuid:6b5d542a-a5c0-45ba-a67b-9fb23f437518 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:28:57Z |
| publishDate | 2020 |
| publisher | Springer |
| record_format | dspace |
| spelling | oxford-uuid:6b5d542a-a5c0-45ba-a67b-9fb23f4375182022-03-26T19:03:29ZLarge deviation principle for fractional Brownian motion with respect to capacityJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:6b5d542a-a5c0-45ba-a67b-9fb23f437518EnglishSymplectic ElementsSpringer2020Jiawei, LQian, ZWe show that the fractional Brownian motion (fBM) defined via the Volterra integral representation with Hurst parameter H≥12 is a quasi-surely defined Wiener functional on the classical Wiener space, and we establish the large deviation principle (LDP) for such an fBM with respect to (p,r)-capacity on the classical Wiener space in Malliavin’s sense. |
| spellingShingle | Jiawei, L Qian, Z Large deviation principle for fractional Brownian motion with respect to capacity |
| title | Large deviation principle for fractional Brownian motion with respect to capacity |
| title_full | Large deviation principle for fractional Brownian motion with respect to capacity |
| title_fullStr | Large deviation principle for fractional Brownian motion with respect to capacity |
| title_full_unstemmed | Large deviation principle for fractional Brownian motion with respect to capacity |
| title_short | Large deviation principle for fractional Brownian motion with respect to capacity |
| title_sort | large deviation principle for fractional brownian motion with respect to capacity |
| work_keys_str_mv | AT jiaweil largedeviationprincipleforfractionalbrownianmotionwithrespecttocapacity AT qianz largedeviationprincipleforfractionalbrownianmotionwithrespecttocapacity |