Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion

DOI10.1214/16-EJP4144zbMath1338.60142arXiv1403.3181WikidataQ115240843 ScholiaQ115240843MaRDI QIDQ287743

Yuzuru Inahama

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3181

zbMATH Keywords

fractional Brownian motion; Malliavin calculus; rough path theory; short time asymptotic expansion

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H07: Stochastic calculus of variations and the Malliavin calculus

60F99: Limit theorems in probability theory