Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions

The goal of this paper is to show that under some assumptions, for a d-dimensional fractional Brownian motion with Hurst parameter H>1/2, the density of the solution of the stochastic differential equation admits the following asymptotics at small times:

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Year of publication:	2011
Authors:	Baudoin, Fabrice ; Ouyang, Cheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 4, p. 759-792
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Small times expansion Laplace method Stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872898