A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
DOI10.1080/07362994.2015.1051232zbMATH Open1333.60130OpenAlexW1569513490MaRDI QIDQ3194571FDOQ3194571
Authors: Toshihiro Yamada 
Publication date: 20 October 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2015.1051232
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Cites Work
- The Malliavin Calculus and Related Topics
- Stochastic integration with respect to the fractional Brownian motion
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
- An asymptotic expansion approach to pricing financial contingent claims
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- On validity of the asymptotic expansion approach in contingent claim analysis
- Stochastic calculus of variations in mathematical finance.
- An asymptotic expansion with push-down of Malliavin weights
- On inference for fractional differential equations
- On arbitrage and replication in the fractional Black–Scholes pricing model
- Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- A formula of small time expansion for Young SDE driven by fractional Brownian motion
Cited In (3)
- Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
- New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
- A formula of small time expansion for Young SDE driven by fractional Brownian motion
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