Moderate deviations for rough differential equations

Published 3 Aug 2023 in math.PR | (2308.01591v3)

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 between 1/4 and 1/2. We prove a moderate deviation principle for this equation as the scale parameter tends to zero.

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