Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions

DOI10.1016/j.spa.2010.11.011zbMath1222.60034arXiv1005.3483OpenAlexW2059110339MaRDI QIDQ544488

Fabrice Baudoin, Cheng Ouyang

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3483

zbMATH Keywords

stochastic differential equationfractional Brownian motionLaplace methodsmall times expansion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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