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

DOI10.1007/978-3-319-11605-1_14MaRDI QIDQ4560339zbMATH OpenOpenAlexFDO

Authors Fabrice Baudoin, Cheng Ouyang

Publication date 11 December 2018

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

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

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)

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.

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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
• 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
• SDE solutions, at small times, driven by fractional Brownian motions.
• Small time asymptotics for Brownian motion with singular drift

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