most citedLarge deviations for rough paths of the fractional Brownian motion

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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 given by Coutin and Qian (2002), we…