Large deviation principle for enhanced Gaussian processes |
| |
| Authors: | Peter Friz Nicolas Victoir |
| |
| Institution: | aDepartment of Pure Mathematics and Mathematical Statistics, University of Cambridge, Cambridge, UK |
| |
| Abstract: | We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölder- or modulus topology, appears as special case. |
| |
| Keywords: | Rough paths Large deviation principle Gaussian processes Fractional Brownian motion |
| 本文献已被 ScienceDirect 等数据库收录！ |
