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

DOI10.1016/J.SPA.2010.11.011MaRDI QIDQ544488zbMATH OpenOpenAlexFDO

Authors 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

fractional Brownian motionLaplace methodsmall times expansionstochastic differential equation

Mathematics Subject Classification ID

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

Abstract: In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to that in the Brownian motion case.

Recommendations

• Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion
• SDE solutions, at small times, driven by fractional Brownian motions.
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• Varadhan estimates for rough differential equations driven by fractional Brownian motions

Cites work

• A version of Hörmander's theorem for the fractional Brownian motion
• An inequality of the Hölder type, connected with Stieltjes integration
• Differential equations driven by fractional Brownian motion
• Differential equations driven by Hölder continuous functions of order greater than 1/2
• Développement asymptotique de la densité d’une diffusion dégénérée
• Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
• scientific article; zbMATH DE number 3870362 (Why is no real title available?)
• scientific article; zbMATH DE number 3761143 (Why is no real title available?)
• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
• scientific article; zbMATH DE number 1117659 (Why is no real title available?)
• scientific article; zbMATH DE number 2109358 (Why is no real title available?)
• scientific article; zbMATH DE number 2121145 (Why is no real title available?)
• Integration with respect to fractal functions and stochastic calculus. I
• Large deviations for rough paths of the fractional Brownian motion
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Methods de laplace et de la phase stationnaire sur l'espace de wiener
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Stochastic analysis of the fractional Brownian motion
• Stochastic flows and Taylor series
• Trees and asymptotic expansions for fractional stochastic differential equations

Cited in

(27)

• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• Bridge representation and modal-path approximation
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
• SDE solutions, at small times, driven by fractional Brownian motions.
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion
• Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
• Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
• Smoothness of the density for solutions to Gaussian rough differential equations
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION
• Borel summation of the small time expansion of some SDE’s driven by Gaussian white noise
• Asymptotic behaviour of randomised fractional volatility models
• Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• The local asymptotic normality of a family of measures generated by solutions of stochastic differential equations with a small fractional Brownian motion
• scientific article; zbMATH DE number 7655921 (Why is no real title available?)
• Fractional-order variational optical flow model for motion estimation
• A high-speed algorithm for computation of fractional differentiation and fractional integration
• Large deviations of continuous Gaussian processes: from small noise to small time
• A formula of small time expansion for Young SDE driven by fractional Brownian motion
• Logarithmic Sobolev inequalities for fractional diffusion

This page was built for publication: Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q544488)