SDE solutions, at small times, driven by fractional Brownian motions.

DOI10.1016/J.CRMA.2005.05.010MaRDI QIDQ2484558zbMATH OpenOpenAlexFDO

Authors Fabrice Baudoin, L. Coutin

Publication date 1 August 2005

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2005.05.010

zbMATH Keywords

stochastic differential equationsemigroup

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 3560487 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Differential equations driven by fractional Brownian motion
• Differential equations driven by rough signals
• On the gap between deterministic and stochastic ordinary differential equations
• Stochastic analysis, rough path analysis and fractional Brownian motions.

Cited in

(7)

• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion

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