Varadhan Estimates for rough differential equations driven by fractional Brownian motions

2013/04/27 by Fabrice Baudoin, Cheng Ouyang, Baudoin, Fabrice +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1304.7376

arxiv created 2013/04/27 · arxiv updated 2013/04/30

Abstract

In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4 and establish Varadhan's small time estimates for the density of solutions of such equations under Hormander's type conditions.

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