SDE solutions, at small times, driven by fractional Brownian motions.
It is well-known that if \(X^{x}=(X_{t}^{x})_{t\geq0}\) is a solution of the Stratonovich stochastic differential equation \(dX_{t}=\sum_{i=1}^{d}V_{i}(X_{t})\circ dB_{t}^{i},t\geq0\), \(X_{0}=x\), where \(B=(B^{1},...,B^{d})\) is a Brownian motion and \(V_{1} ,...,V_{d}\) are \(C_{b}^{\infty}\) vector fields, then \(X^{x}\) forms a Markov process and has the semigroup \(P_{t}=\exp\left\{ \frac{1}{2}t\sum_{i=1} ^{d}V_{i}^{2}\right\} \), \(t\geq0\).\ Using the results on existence and uniqueness obtained by \textit{L. Coutin} and \textit{Z. Qian} [Probab. Theory Relat. Fields 122, No. 1, 108-140 (2002; Zbl 1047.60029)] the authors replace in the above equation the Brownian motion by a fractional Brownian motion with Hurst parameter \(H>\frac{1}{4}\) and interpret the stochastic integral in \textit{T. Lyon}'s sense [Rev. Mat. Iberoam. 14, No.~2, 215--310 (1998; Zbl 0923.34056)]. Their objective is to study the operator \(P_{t}f(x)=E[f(X_{t}^{x})]\) which is not Markovian anymore.\ The authors prove in their short note that, for some homogeneous 4th order differential operator \(\Gamma\), \(P_{t}\) has the limit development \(P_{t}=I+\frac{1}{2}t^{2H}\sum_{i=1}^{d}V_{i}^{2}+t^{4H}\Gamma+o(t^{5H})\), \(t\rightarrow0\). They deduce from this result an estimate of the density of \(X_{t}^{x}\) for short time \(t>0\).
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