Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity

Jiawei Li; Zhongmin Qian

doi:10.1007/s11118-020-09844-6

Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity

Jiawei Li, Zhongmin Qian

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	655-685
Journal	Potential analysis
Volume	54
Issue number	4
Early online date	28 Apr 2020
DOIs	https://doi.org/10.1007/s11118-020-09844-6
Publication status	Published - 30 Apr 2021

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title = "Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity",

abstract = "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{\textquoteright}s sense.",

author = "Jiawei Li and Zhongmin Qian",

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AB - 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.

U2 - 10.1007/s11118-020-09844-6

DO - 10.1007/s11118-020-09844-6

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EP - 685

JO - Potential analysis

JF - Potential analysis

SN - 0926-2601

IS - 4

ER -

Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity

Abstract

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