On small time asymptotics for rough differential equations driven by fractional Brownian motions
Probability
2014-03-05 v1
Abstract
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.
Keywords
Cite
@article{arxiv.1403.0872,
title = {On small time asymptotics for rough differential equations driven by fractional Brownian motions},
author = {Fabrice Baudoin and Cheng Ouyang},
journal= {arXiv preprint arXiv:1403.0872},
year = {2014}
}
Comments
This is a survey paper, submitted to proceedings in the memory of Peter Laurence