scientific article; zbMATH DE number 7655921

zbMATH Open1506.60060MaRDI QIDQ5878596FDOQ5878596

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

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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 \(H>1/2\)
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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)

Cites Work

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

Cited In (7)

• 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
• Stability of linear stochastic differential equations of mixed type with fractional Brownian motions
• Trees and asymptotic expansions for fractional stochastic differential equations
• 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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