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

DOI10.2969/JMSJ/06820535zbMATH Open1343.60073arXiv1110.2604OpenAlexW2963903135MaRDI QIDQ296530FDOQ296530

Yuzuru Inahama

Publication date: 23 June 2016

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

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.

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)

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Cited In (7)

• Smoothness of the density for solutions to Gaussian rough differential equations
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Bridge representation and modal-path approximation
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• Positivity of the density for rough differential equations
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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