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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’s sense.
Publication status:
Published
Peer review status:
Peer reviewed

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Division:
MPLS
Department:
Mathematical Institute
Sub department:
Mathematical Institute
Role:
Author
Publisher:
Springer
Journal:
Potential Analysis More from this journal
Volume:
54
Issue:
4
Pages:
655–685
Publication date:
2020-04-28
Acceptance date:
2020-03-29
DOI:
EISSN:
1572-929X
ISSN:
0926-2601
Language:
English
Keywords:
Pubs id:
1098512
Local pid:
pubs:1098512
Deposit date:
2020-04-03

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