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

DOI10.3150/08-BEJ124MaRDI QIDQ1002552zbMATH OpenFDO

Authors 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

asymptotic expansionfractional Brownian motionMalliavin calculusstochastic differential equation

Mathematics Subject Classification ID

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

Abstract: We study the asymptotic expansions with respect to $h$ of [mathrm{E}[Delta_hf(X_t)],qquad mathrm{E}[Delta_hf(X_t)|mathscr{F}^X_t]quadandquad mathrm{E}[Delta_hf(X_t)|X_t],] where $Delt{a}_{h}f(X_t)=f(X_{t+h})-f(X_t)$, when $f:mathbbRomathbbR$ is a smooth real function, $tgeq0$ is a fixed time, $X$ is the solution of a one-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst index $H>1/2$ and $mathscr{F}^X$ is its natural filtration.

Recommendations

• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• scientific article; zbMATH DE number 7655921
• Trees and asymptotic expansions for fractional stochastic differential equations
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• SDE solutions, at small times, driven by fractional Brownian motions.

Cites work

• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• scientific article; zbMATH DE number 2096685 (Why is no real title available?)
• scientific article; zbMATH DE number 3398554 (Why is no real title available?)
• Integration with respect to fractal functions and stochastic calculus. I
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Ordinary differential equations with fractal noise
• Regularization of differential equations by fractional noise.
• Stochastic analysis of the fractional Brownian motion
• Stochastic derivatives for fractional diffusions
• The Malliavin Calculus and Related Topics
• Trees and asymptotic expansions for fractional stochastic differential equations

Cited in

(6)

• Time reversal for drifted fractional Brownian motion with Hurst index \(H > 1/2\)
• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• scientific article; zbMATH DE number 7655921 (Why is no real title available?)
• Controlled differential equations as Young integrals: a simple approach

This page was built for publication: Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002552)