A stochastic Taylor-like expansion in the rough path theory

Abstract

In this paper we establish a Taylor-like expansion in the context of the rough path theory for a family of It ^{o} maps indexed by a small parameter. We treat not only the case that the roughness $p$ satisfies $[p]=2$, but also the case that $[p]ge3$. As an application, we discuss the Laplace asymptotics for It^{o} functionals of Brownian rough paths.

References in corpus (1)

• Large deviations for rough paths of the fractional Brownian motion