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