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

DOI10.1016/J.SPL.2015.02.011MaRDI QIDQ893911zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• An asymptotic expansion with push-down of Malliavin weights
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• On inference for fractional differential equations
• On validity of the asymptotic expansion approach in contingent claim analysis
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• Stochastic integration with respect to the fractional Brownian motion
• Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions
• The Malliavin Calculus and Related Topics

Cited in

(5)

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

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