Abstract
We show that the fractional Brownian motion (fBM) defined via the Volterra integral representation with Hurst parameter \(H\geq \frac {1}{2}\) is a quasi-surely defined Wiener functional on the classical Wiener space, and we establish the large deviation principle (LDP) for such an fBM with respect to (p,r)-capacity on the classical Wiener space in Malliavin’s sense.
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Li, J., Qian, Z. Large Deviation Principle for Fractional Brownian Motion with Respect to Capacity. Potential Anal 54, 655–685 (2021). https://doi.org/10.1007/s11118-020-09844-6
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DOI: https://doi.org/10.1007/s11118-020-09844-6