Laplace approximation for rough differential equation driven by fractional Brownian motion

Yuzuru Inahama

Type: Article

Publication Date: 2013-01-01

Citations: 21

DOI: https://doi.org/10.1214/11-aop733

View Publication

Locations

The Annals of Probability - View
arXiv (Cornell University) - View - PDF
DataCite API - View

Similar Works

Action	Title	Year	Authors
+	Asymptotic expansion of the density for hypoelliptic rough differential equation	2019	Yuzuru Inahama Nobuaki Naganuma
+	Varadhan estimates for rough differential equations driven by fractional Brownian motions	2014	Fabrice Baudoin Cheng Ouyang Xuejing Zhang
+ PDF Chat	ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION	2019	Yuzuru Inahama Nobuaki Naganuma
+	Varadhan Estimates for rough differential equations driven by fractional Brownian motions	2013	Fabrice Baudoin Cheng Ouyang Xuejing Zhang
+ PDF Chat	Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion	2016	Yuzuru Inahama
+	Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion	2014	Yuzuru Inahama
+	Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion	2014	Yuzuru Inahama
+	Precise Laplace approximation for mixed rough differential equation	2022	Xiaoyu Yang Yong Xu Bin Pei
+ PDF Chat	A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion	2020	Francesco C. De Vecchi Luca Giordano Daniela Morale Stefania Ugolini
+	A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion	2020	Francesco C. De Vecchi Luca Giordano Daniela Morale Stefania Ugolini
+	A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion	2020	Francesco C. De Vecchi Luca Giordano Daniela Morale Stefania Ugolini
+	Fractal Dimensions of Rough Differential Equations Driven by Fractional Brownian Motions	2015	Shuwen Lou Cheng Ouyang
+	On small time asymptotics for rough differential equations driven by fractional Brownian motions	2014	Fabrice Baudoin Cheng Ouyang
+ PDF Chat	On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions	2015	Fabrice Baudoin Cheng Ouyang
+	New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion	2023	Akihiko Takahashi Toshihiro Yamada
+	Fractal dimensions of rough differential equations driven by fractional Brownian motions	2016	Shuwen Lou Cheng Ouyang
+	Malliavin differentiability of solutions of rough differential equations	2013	Yuzuru Inahama
+	Malliavin differentiability of solutions of rough differential equations	2013	Yuzuru Inahama
+ PDF Chat	New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion	2024	Akihiko Takahashi Toshihiro Yamada
+	Moderate deviations for rough differential equations	2023	Yuzuru Inahama Yong Xu Xiaoyu Yang

Works That Cite This (23)

Action	Title	Year	Authors
+ PDF Chat	Fractional stochastic partial differential equation for random tangent fields on the sphere	2021	Vo Anh Andriy Olenko Y. G. Wang
+	Varadhan estimates for rough differential equations driven by fractional Brownian motions	2014	Fabrice Baudoin Cheng Ouyang Xuejing Zhang
+ PDF Chat	On approximation for fractional stochastic partial differential equations on the sphere	2018	Vo Anh Philip Broadbridge Andriy Olenko Yu Guang Wang
+ PDF Chat	Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions	2010	Fabrice Baudoin Cheng Ouyang
+	Rough path theory and stochastic calculus	2016	Yuzuru Inahama
+	Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions	2010	Fabrice Baudoin Cheng Ouyang
+	A stochastic Taylor-like expansion in the rough path theory	2010	Yuzuru Inahama
+	Large deviations for rough path lifts of Watanabe's pullbacks of delta functions	2014	Yuzuru Inahama
+	Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion	2014	Yuzuru Inahama
+	Simple error bounds for the multivariate Laplace approximation under weak local assumptions	2015	Piotr Majerski

Works Cited by This (31)

Action	Title	Year	Authors
+	Global existence for rough differential equations under linear growth conditions	2009	Massimiliano Gubinelli Antoine Lejay
+ PDF Chat	Gaussian measures in Banach spaces	1975	Hui-Hsiung Kuo
+	An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion	2007	Laure Coutin
+	Asymptotic expansions for ornstein-uhlenbeck semigroups perturbed by potentials over banach spaces	2000	Sergio Albeverio Haio Röckle Victoria Steblovskaya
+ PDF Chat	Large deviation principle for enhanced Gaussian processes	2007	Peter K. Friz Nicolas Victoir
+ PDF Chat	Trees and asymptotic expansions for fractional stochastic differential equations	2009	Andreas Neuenkirch Ivan Nourdin Andreas Rößler Samy Tindel
+	A generalized Fernique theorem and applications	2010	Peter K. Friz Harald Oberhauser
+ PDF Chat	Differential equations driven by rough signals	1998	Terry Lyons
+ PDF Chat	A Stochastic Taylor-Like Expansion in the Rough Path Theory	2010	Yuzuru Inahama
+ PDF Chat	Smoothness of Itô maps and diffusion processes on path spaces (I)	2006	X LI Terence J. Lyons