A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus

DOI10.1080/07362994.2015.1051232MaRDI QIDQ3194571zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic expansionMalliavin calculusfractional Brownian motionYoung integralsYoung stochastic differential equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

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Cites work

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• An asymptotic expansion with push-down of Malliavin weights
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• 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
• On arbitrage and replication in the fractional Black–Scholes pricing model
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• On validity of the asymptotic expansion approach in contingent claim analysis
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Stochastic calculus of variations in mathematical finance.
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• The Malliavin Calculus and Related Topics
• The asymptotic expansion approach to the valuation of interest rate contingent claims

Cited in

(3)

• Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
• A formula of small time expansion for Young SDE driven by fractional Brownian motion
• New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

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