Large deviation principle for fractional Brownian motion with respect to capacity

Author: 

Jiawei, L
Qian, Z

Publication Date: 

28 April 2020

Journal: 

Potential Analysis

Last Updated: 

2021-07-26T14:17:43.52+01:00

Issue: 

4

Volume: 

54

DOI: 

10.1007/s11118-020-09844-6

page: 

655-685

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.

Symplectic id: 

1098512

Submitted to ORA: 

Submitted

Publication Type: 

Journal Article