Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity

Jiawei Li, Zhongmin Qian

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

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.
Original languageEnglish
Pages (from-to)655-685
JournalPotential analysis
Volume54
Issue number4
Early online date28 Apr 2020
DOIs
Publication statusPublished - 30 Apr 2021

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