scientific article; zbMATH DE number 7655921

MaRDI QIDQ5878596zbMATH OpenFDO

Authors M. M. Vas'kovskii, I. V. Kachan

Publication date 21 February 2023

Full work available at URL https://doklady.belnauka.by/jour/article/view/533

zbMATH Keywords

asymptotic expansionsstochastic differential equationrough paths theorymultivariate fractional Brownian motionGubinelli's derivative

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Trees and asymptotic expansions for fractional stochastic differential equations
• Approximation of stochastic differential equations driven by fractional Brownian motion

Cites work

• A course on rough paths. With an introduction to regularity structures
• Controlling rough paths
• Differential equations driven by fractional Brownian motion
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Stochastic differential equations. An introduction with applications.
• Trees and asymptotic expansions for fractional stochastic differential equations

Cited in

(14)

• Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions
• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions
• Karhunen-Loève expansion for stochastic convolution of cylindrical fractional Brownian motions
• Stability of linear stochastic differential equations of mixed type with fractional Brownian motions
• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• Trees and asymptotic expansions for fractional stochastic differential equations
• 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
• Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent
• On the uniqueness of higher order Gubinelli derivatives and an analogue of the Doob-Meyer theorem for rough paths of the arbitrary positive Hölder index
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3

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