Large deviation principle for fractional Brownian motion with respect to capacity
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2018
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| _version_ | 1866910996618018816 |
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| author | Li, Jiawei Qian, Zhongmin |
| author_facet | Li, Jiawei Qian, Zhongmin |
| contents | We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter $H\geq\frac{1}{2}$ 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1807_06891 |
| institution | arXiv |
| publishDate | 2018 |
| record_format | arxiv |
| spellingShingle | Large deviation principle for fractional Brownian motion with respect to capacity Li, Jiawei Qian, Zhongmin Probability We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter $H\geq\frac{1}{2}$ 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. |
| title | Large deviation principle for fractional Brownian motion with respect to capacity |
| topic | Probability |
| url | https://arxiv.org/abs/1807.06891 |