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

DOI10.1016/j.spl.2015.02.011zbMath1330.60076OpenAlexW2060186637MaRDI QIDQ893911

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

fractional Brownian motionMalliavin calculussmall time expansionYoung integralsYoung SDE

Mathematics Subject Classification ID

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

Related Items (2)

A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus ⋮ Bridge representation and modal-path approximation

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