Moderate deviations for rough differential equations

Yuzuru Inahama; Yong Xu; Xiaoyu Yang

doi:10.1112/blms.13097

Moderate deviations for rough differential equations

Yuzuru Inahama, Yong Xu, Xiaoyu Yang

School of Mathematics and Statistics

Kyushu University

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Small noise problems are quite important for all types of stochastic differential equations. In this paper, we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter (Formula presented.). We prove a moderate deviation principle for this equation as the scale parameter tends to zero.

Original language	English
Pages (from-to)	2738-2748
Number of pages	11
Journal	Bulletin of the London Mathematical Society
Volume	56
Issue number	8
DOIs	https://doi.org/10.1112/blms.13097
State	Published - Aug 2024

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title = "Moderate deviations for rough differential equations",

abstract = "Small noise problems are quite important for all types of stochastic differential equations. In this paper, we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter (Formula presented.). We prove a moderate deviation principle for this equation as the scale parameter tends to zero.",

author = "Yuzuru Inahama and Yong Xu and Xiaoyu Yang",

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JO - Bulletin of the London Mathematical Society

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Moderate deviations for rough differential equations

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