@article{AIHPB_2006__42_2_245_0, author = {Millet, Annie and Sanz-Sol\'e, Marta}, title = {Large deviations for rough paths of the fractional brownian motion}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, pages = {245--271}, publisher = {Elsevier}, volume = {42}, number = {2}, year = {2006}, doi = {10.1016/j.anihpb.2005.04.003}, mrnumber = {2199801}, zbl = {1087.60035}, language = {en}, url = {http://archive.numdam.org/articles/10.1016/j.anihpb.2005.04.003/} }
TY - JOUR AU - Millet, Annie AU - Sanz-Solé, Marta TI - Large deviations for rough paths of the fractional brownian motion JO - Annales de l'I.H.P. Probabilités et statistiques PY - 2006 SP - 245 EP - 271 VL - 42 IS - 2 PB - Elsevier UR - http://archive.numdam.org/articles/10.1016/j.anihpb.2005.04.003/ DO - 10.1016/j.anihpb.2005.04.003 LA - en ID - AIHPB_2006__42_2_245_0 ER -
%0 Journal Article %A Millet, Annie %A Sanz-Solé, Marta %T Large deviations for rough paths of the fractional brownian motion %J Annales de l'I.H.P. Probabilités et statistiques %D 2006 %P 245-271 %V 42 %N 2 %I Elsevier %U http://archive.numdam.org/articles/10.1016/j.anihpb.2005.04.003/ %R 10.1016/j.anihpb.2005.04.003 %G en %F AIHPB_2006__42_2_245_0
Millet, Annie; Sanz-Solé, Marta. Large deviations for rough paths of the fractional brownian motion. Annales de l'I.H.P. Probabilités et statistiques, Volume 42 (2006) no. 2, pp. 245-271. doi : 10.1016/j.anihpb.2005.04.003. http://archive.numdam.org/articles/10.1016/j.anihpb.2005.04.003/
[1] Stochastic calculus with respect to Gaussian processes, Ann. Probab. 29 (2) (2001) 766-801. | MR | Zbl
, , ,[2] Stochastic integration with respect to fractional Brownian motion, Ann. Inst. H. Poincaré 39 (1) (2003) 27-68. | Numdam | MR | Zbl
, , ,[3] The Lévy area process for the free Brownian motion, J. Funct. Anal. 179 (1) (2001) 153-169. | MR | Zbl
, ,[4] Stochastic analysis, rough path analysis and fractional Brownian motions, Probab. Theory Related Fields 122 (2002) 108-140. | MR | Zbl
, ,[5] Stochastic analysis of the fractional Brownian motion, Potential Anal. 10 (1999) 177-214. | MR | Zbl
, ,[6] A Skorohod-Stratonovitch integral for the fractional Brownian motion, in: Stochastic Analysis and Related Topics, VII (Kusadasi, 1998), Progr. Probab., vol. 48, Birkhäuser Boston, Boston, 2001, pp. 177-198. | MR | Zbl
,[7] Large Deviations Techniques and Applications, Appl. Math., vol. 38, Springer-Verlag, 1998. | MR | Zbl
, ,[8] Large Deviations, Pure Appl. Math., vol. 137, Academic Press, 1989. | MR | Zbl
, ,[9] Approximations of the Brownian rough path with applications to stochastic analysis, prepublication, arXiv, math.PR/0308238, Ann. Inst. H. Poincaré, in press. | Numdam | Zbl
, ,[10] Probability in Banach Spaces, Springer-Verlag, 1991. | MR | Zbl
, ,[11] Lévy area of Wiener processes in Banach spaces, Ann. Probab. 30 (2) (2002) 546-578. | MR | Zbl
, , ,[12] Large deviations and support theorem for diffusion processes via rough paths, Stochastic Proccess. Appl. 102 (2002) 265-283. | MR | Zbl
, , ,[13] An introduction to rough paths, in: Séminaire de Probabilités XXXVII, Lecture Notes in Math., vol. 1832, Springer, Berlin, 2003, pp. 1-59. | MR | Zbl
,[14] Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (1998) 215-310. | MR | Zbl
,[15] System Control and Rough Paths, Oxford Math. Monographs, Oxford Science Publications, Clarendon Press, Oxford, 2002. | MR | Zbl
, ,[16] Fractional Brownian motions, fractional noises and applications, SIAM Rev. 10 (1968) 422-437. | MR | Zbl
, ,Cited by Sources: