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Onsager-Machlup functional for the fractional Brownian motion
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  • Published: October 2002

Onsager-Machlup functional for the fractional Brownian motion

  • Sílvia Moret1 &
  • David Nualart1 

Probability Theory and Related Fields volume 124, pages 227–260 (2002)Cite this article

  • 217 Accesses

  • 14 Citations

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Abstract.

 Let X be the solution of the stochastic differential equation where B H is a fractional Brownian motion with Hurst parameter H. In this paper we compute the Onsager-Machlup functional of X for the supremum norm and Hölder norms of order β with in the case and for Hölder norms of order β with when .

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Authors and Affiliations

  1. Facultat de Matemàtiques, Universitat de Barcelona, Gran Via, 585, 08007 Barcelona, Spain. e-mail: moret@mat.ub.es, , , , , , ES

    Sílvia Moret & David Nualart

Authors
  1. Sílvia Moret
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  2. David Nualart
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Received: 16 July 2001 / Revised version: 12 March 2002 / Published online: 10 September 2002

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Moret, S., Nualart, D. Onsager-Machlup functional for the fractional Brownian motion. Probab Theory Relat Fields 124, 227–260 (2002). https://doi.org/10.1007/s004400200211

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  • Issue Date: October 2002

  • DOI: https://doi.org/10.1007/s004400200211

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Keywords

  • Brownian Motion
  • Fractional Brownian Motion
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