Large deviation principle for fractional Brownian motion with respect to capacity

2018/07/18 by Jiawei Li, Zhongmin Qian, Li, Jiawei +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.1807.06891

openalex publication_date 2018/07/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter H≥(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.

Citations

• Fractional Brownian Motions, Fractional Noises and Applications

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