A large deviation principle in H\"older norm for multiple fractional integrals

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Sanz-Solé, Marta; Torrecilla-Tarantino, Iván;
(2007)
  • Subject: 60F10, 60G17, 60G15 (Primary) | Mathematics - Probability | 60H07, 60H05 (Secondary)

For a fractional Brownian motion $B^H$ with Hurst parameter $H\in]{1/4},{1/2}[\cup]{1/2},1[$, multiple indefinite integrals on a simplex are constructed and the regularity of their sample paths are studied. Then, it is proved that the family of probability laws of the p... View more
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