On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions

DOI10.1007/978-3-319-11605-1_14zbMATH Open1418.91623arXiv1403.0872OpenAlexW2268243204MaRDI QIDQ4560339FDOQ4560339

Authors: Fabrice Baudoin, Cheng Ouyang 

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.

Full work available at URL: https://arxiv.org/abs/1403.0872

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zbMATH Keywords

rough differential equationsmathematical foundations in non-Markovian situationssmall maturity limit

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Actuarial science and mathematical finance (91G99)

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Cited In (11)

• Short-time near-the-money skew in rough fractional volatility models
• Asymptotic behaviour of randomised fractional volatility models
• Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion
• Smoothing effect of rough 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
• Asymptotics for Rough Stochastic Volatility Models
• 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
• SDE solutions, at small times, driven by fractional Brownian motions.
• Small time asymptotics for Brownian motion with singular drift

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