Large deviation principles for stochastic dynamical systems with a fractional Brownian noise

Abstract

We study small noise large deviation asymptotics for stochastic differential equations with a multiplicative noise given as a fractional Brownian motion $B^H$ with Hurst parameter $H>\frac{1}{2}$. The solutions of the stochastic differential equations are defined pathwise under appropriate conditions on the coefficients. The ingredients in the proof of the large deviation principle, which include a variational representation for nonnegative functionals of fractional Brownian motions and a general sufficient condition for a LDP for a collection of functionals of a fractional Brownian motions, have a broader applicability than the model considered here.

Cited by in corpus (1)

• Pathwise large deviations for white noise chaos expansions