A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise

We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, covering both classical Brownian perturbations and non-Markovian perturbations such as fractional Brownian motion. The drift coefficient is assumed to be non-anticipative, Lipschitz continuous in the state path, and of linear growth. For bounded uniformly continuous cost functionals, we prove game-theoretic lower and upper bounds for the small-noise logarithmic value functions and identify their limit whenever the associated deterministic zero-sum game has a value. In the limiting game, one player chooses the drift control, while the other selects a Cameron--Martin shift of the Gaussian noise, penalized by the corresponding quadratic energy cost. We further provide sufficient Fan-type convexity and concavity conditions under which the game has a value, thereby obtaining a full small-noise Laplace principle. The proof combines the Boué--Dupuis variational representation on abstract Wiener spaces with pathwise stability of the controlled solution map and adapted finite-dimensional approximations of Cameron--Martin shifts.