Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)

DOI10.3150/08-BEJ124zbMath1158.60025arXivmath/0703794MaRDI QIDQ1002552

Sébastien Darses, Ivan Nourdin

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703794

zbMATH Keywords

stochastic differential equationasymptotic expansionfractional Brownian motionMalliavin calculus

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Controlled differential equations as Young integrals: a simple approach

Cites Work

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• Ordinary differential equations with fractal noise

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