Journal article
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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(Preview, Version of record, 3.9MB, Terms of use)
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- Publisher copy:
- 10.1007/s11118-020-09844-6
Authors
- 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:
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1572-929X
- ISSN:
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0926-2601
- Language:
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English
- Keywords:
- Pubs id:
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1098512
- Local pid:
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pubs:1098512
- Deposit date:
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2020-04-03
Terms of use
- Copyright holder:
- Li and Qian
- Copyright date:
- 2020
- Rights statement:
- © The Authors 2020. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made.
- Licence:
- CC Attribution (CC BY)
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