Laplace approximation for rough differential equation driven by fractional Brownian motion

preprint2013arXivOpen access

Abstract

We consider a rough differential equation indexed by a small parameter ε>0\varepsilon>0. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter HH (1/4<H<1/21/4<H<1/2), we prove the Laplace-type asymptotics for the solution as the parameter ε\varepsilon tends to zero.

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