Sheng Wang

Optimal Tail Estimates for Differential Equations Driven by Fractional Brownian Motion

The goal of the present paper is to investigate the exact decay rate of the tail probability $\mathbb{P}(|X_1-x_0|>R)$ for large $R$, where $X_t$ is the solution to a multidimensional stochastic differential equation driven by a fractional Brownian motion with initial condition $x_0$. In the first place, under the assu...