Large deviations for rough paths of the fractional Brownian motion
Abstract
Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter H∈]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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