Moderate deviations for rough differential equations
Fuente:
arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
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| _version_ | 1866909149658349568 |
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| author | Inahama, Yuzuru Xu, Yong Yang, Xiaoyu |
| author_facet | Inahama, Yuzuru Xu, Yong Yang, Xiaoyu |
| contents | Small noise problems are quite important for all types of stochastic differential equations. In this paper we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter H between 1/4 and 1/2. We prove a moderate deviation principle for this equation as the scale parameter tends to zero. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_01591 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Moderate deviations for rough differential equations Inahama, Yuzuru Xu, Yong Yang, Xiaoyu Probability 60L20, 60F10, 60G22 Small noise problems are quite important for all types of stochastic differential equations. In this paper we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter H between 1/4 and 1/2. We prove a moderate deviation principle for this equation as the scale parameter tends to zero. |
| title | Moderate deviations for rough differential equations |
| topic | Probability 60L20, 60F10, 60G22 |
| url | https://arxiv.org/abs/2308.01591 |