A formula of small time expansion for Young SDE driven by fractional Brownian motion

DOI10.1016/J.SPL.2015.02.011zbMATH Open1330.60076OpenAlexW2060186637MaRDI QIDQ893911FDOQ893911

Authors: Toshihiro Yamada 

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.011

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zbMATH Keywords

Malliavin calculusfractional Brownian motionsmall time expansionYoung integralsYoung SDE

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic integration with respect to the fractional Brownian motion
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Title not available (Why is that?)
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• On validity of the asymptotic expansion approach in contingent claim analysis
• An asymptotic expansion with push-down of Malliavin weights
• On inference for fractional differential equations
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions

Cited In (5)

• Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
• Bridge representation and modal-path approximation
• Borel summation of the small time expansion of some SDE’s driven by Gaussian white noise
• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

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