Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory

DOI10.2969/JMSJ/06820535MaRDI QIDQ296530zbMATH OpenOpenAlexFDO

Authors Yuzuru Inahama

Publication date 23 June 2016

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.2604

zbMATH Keywords

Malliavin calculusstochastic differential equationfractional Brownian motionYoung integralshort time asymptoticsWatanabe distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we study short time asymptotics of a density function of the solution of a stochastic differential equation driven by fractional Brownian motion with Hurst parameter $Hin(1/2,1)$ when the coefficient vector fields satisfy an ellipticity condition at the starting point. We prove both on-diagonal and off-diagonal asymptotics under mild additional assumptions. Our main tool is Malliavin calculus, in particular, Watanabe's theory of generalized Wiener functionals.

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Cited in

(11)

• Varadhan estimates for rough differential equations driven by fractional Brownian motions
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• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• Density estimates and short-time asymptotics for a hypoelliptic diffusion process
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
• A formula of small time expansion for Young SDE driven by fractional Brownian motion
• Positivity of the density for rough differential equations
• Bridge representation and modal-path approximation
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Smoothness of the density for solutions to Gaussian rough differential equations
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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