Université Paris 1 Panthéon-Sorbonne

most citedLarge deviations for rough paths of the fractional Brownian motion

51 citations

researchers with a paper here

A MILLET1
Jonathan P. Bowen1
Marta Sanz–Solé1
Silvia Filippini-Fantoni1

collaborating institutions

Centre d'Économie de la SorbonneFR1 paper
Laboratoire de Mathématiques Blaise PascalFR1 paper
Laboratoire de Probabilités et Modèles AléatoiresFR1 paper
Laboratoire de Statistique Théorique et AppliquéeFR1 paper
London South Bank UniversityGB1 paper
Sorbonne UniversitéFR1 paper
Universitat de BarcelonaES1 paper
Université Paris CitéFR1 paper

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math.PR2004★ 51 cited

Large deviations for rough paths of the fractional Brownian motion

Annie Millet, Marta Sanz-Solé

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…