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

DOI10.1214/16-EJP4144zbMATH Open1338.60142arXiv1403.3181WikidataQ115240843 ScholiaQ115240843MaRDI QIDQ287743FDOQ287743

Authors: Yuzuru Inahama 

Publication date: 23 May 2016

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

Abstract: We study a stochastic differential equation in the sense of rough path theory driven by fractional Brownian rough path with Hurst parameter H (1/3 < H <= 1/2) under the ellipticity assumption at the starting point. In such a case, the law of the solution at a fixed time has a kernel, i.e., a density function with respect to Lebesgue measure. In this paper we prove a short time off-diagonal asymptotic expansion of the kernel under mild additional assumptions. Our main tool is Watanabe's distributional Malliavin calculus.

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

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zbMATH Keywords

Malliavin calculusfractional Brownian motionrough path theoryshort time asymptotic expansion

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Limit theorems in probability theory (60F99)

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• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• Laplace approximation for rough differential equation driven by fractional Brownian motion
• Limit theorem for a rough differential equation with a negative long-range random coefficient
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