Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions

DOI10.1016/J.SPA.2023.07.015MaRDI QIDQ6048982zbMATH OpenOpenAlexFDO

Authors Xiliang Fan, Ting Yu, Chenggui Yuan

Publication date 15 September 2023

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2207.01525

zbMATH Keywords

central limit theoremdistribution dependent SDEfractional Brownian motionlarge deviation principlemoderate deviation principle

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 study small-time asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter $Hin(1/2,1)$ and magnitude $e{p}^H$. By building up a variational framework and two weak convergence criteria in the factional Brownian motion setting, we establish the large and moderate deviation principles for this type equations. Besides, we also obtain the central limit theorem, in which the limit process solves a linear equation involving the Lions derivative of the drift coefficient.

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Cited in

(22)

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