Optimal Tail Estimates for Differential Equations Driven by Fractional Brownian Motion

Horatio Boedihardjo, Xi Geng, Sheng Wang

The goal of the present paper is to investigate the exact decay rate of the tail probability $\mathbb{P}(|X_1-x_0|>R)$ for large $R$, where $X_t$ is the solution to a multidimensio…