Varadhan estimates for rough differential equations driven by fractional Brownian motions

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.

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Year of publication:	2015
Authors:	Baudoin, Fabrice ; Ouyang, Cheng ; Zhang, Xuejing
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 2, p. 634-652
Publisher:	Elsevier
Subject:	Fractional Brownian motion \| Stochastic differential equation \| Varadhan estimates \| Rough path

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194119