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1. Moderate deviations for rough differential equations.

Author

Inahama, Yuzuru, Xu, Yong, and Yang, Xiaoyu

Abstract

Small noise problems are quite important for all types of stochastic differential equations. In this paper, we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter H∈(1/4,1/2]$H\in (1/4, 1/2]$. We prove a moderate deviation principle for this equation as the scale parameter tends to zero. [ABSTRACT FROM AUTHOR]

Published
2024
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