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arxiv: math/0412200 · v1 · submitted 2004-12-09 · 🧮 math.PR

Large deviations for rough paths of the fractional Brownian motion

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keywords roughbrownianfractionalgeometricmotionpathsassociatedgiven
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Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$ given by Coutin and Qian (2002), we prove a large deviation principle in the space of geometric rough paths, extending classical results on Gaussian processes. As a by-product, geometric rough paths associated to elements of the reproducing kernel Hilbert space of the fractional Brownian motion are obtained and an explicit integral representation is given.

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