Varadhan estimates for rough differential equations driven by fractional Brownian motions

Fabrice Baudoin; Cheng Ouyang; Xuejing Zhang

doi:10.1016/j.spa.2014.09.012

Varadhan estimates for rough differential equations driven by fractional Brownian motions

Fabrice Baudoin^*, Cheng Ouyang, Xuejing Zhang

^*Corresponding author for this work

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

8 Citations (Scopus)

Abstract

In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>14 and establish Varadhan's small time estimates for the density of solutions of such equations under Hörmander's type conditions.

Original language	English
Journal	Stochastic Processes and Their Applications
Volume	125
Issue	2
Pages (from-to)	634-652
Number of pages	19
ISSN	0304-4149
DOIs	https://doi.org/10.1016/j.spa.2014.09.012
Publication status	Published - Feb 2015
Externally published	Yes

Keywords

Brownian motion
Fractional
Rough path
Stochastic differential equation
Varadhan estimates

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10.1016/j.spa.2014.09.012

Cite this

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title = "Varadhan estimates for rough differential equations driven by fractional Brownian motions",

abstract = "In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>14 and establish Varadhan's small time estimates for the density of solutions of such equations under H{\"o}rmander's type conditions.",

keywords = "Brownian motion, Fractional, Rough path, Stochastic differential equation, Varadhan estimates",

author = "Fabrice Baudoin and Cheng Ouyang and Xuejing Zhang",

note = "Publisher Copyright: {\textcopyright} 2014 Elsevier B.V.",

year = "2015",

month = feb,

doi = "10.1016/j.spa.2014.09.012",

language = "English",

volume = "125",

pages = "634--652",

journal = "Stochastic Processes and Their Applications",

issn = "0304-4149",

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Varadhan estimates for rough differential equations driven by fractional Brownian motions. / Baudoin, Fabrice; Ouyang, Cheng; Zhang, Xuejing.
In: Stochastic Processes and Their Applications, Vol. 125, No. 2, 02.2015, p. 634-652.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

TY - JOUR

T1 - Varadhan estimates for rough differential equations driven by fractional Brownian motions

AU - Baudoin, Fabrice

AU - Ouyang, Cheng

AU - Zhang, Xuejing

PY - 2015/2

Y1 - 2015/2

N2 - In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>14 and establish Varadhan's small time estimates for the density of solutions of such equations under Hörmander's type conditions.

AB - In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>14 and establish Varadhan's small time estimates for the density of solutions of such equations under Hörmander's type conditions.

KW - Brownian motion

KW - Fractional

KW - Rough path

KW - Stochastic differential equation

KW - Varadhan estimates

UR - http://www.scopus.com/inward/record.url?scp=84908425596&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2014.09.012

DO - 10.1016/j.spa.2014.09.012

M3 - Journal article

AN - SCOPUS:84908425596

SN - 0304-4149

VL - 125

SP - 634

EP - 652

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

IS - 2

ER -

Varadhan estimates for rough differential equations driven by fractional Brownian motions

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Keywords

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