Varadhan estimates for rough differential equations driven by fractional Brownian motions

Fabrice Baudoin, Cheng Ouyang and Xuejing Zhang

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 634-652

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.

Keywords: Fractional Brownian motion; Stochastic differential equation; Varadhan estimates; Rough path (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:2:p:634-652

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DOI: 10.1016/j.spa.2014.09.012

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