Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
Probability
2014-05-26 v4
Abstract
In this paper we study short time asymptotics of a density function of the solution of a stochastic differential equation driven by fractional Brownian motion with Hurst parameter when the coefficient vector fields satisfy an ellipticity condition at the starting point. We prove both on-diagonal and off-diagonal asymptotics under mild additional assumptions. Our main tool is Malliavin calculus, in particular, Watanabe's theory of generalized Wiener functionals.
Keywords
Cite
@article{arxiv.1110.2604,
title = {Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory},
author = {Yuzuru Inahama},
journal= {arXiv preprint arXiv:1110.2604},
year = {2014}
}
Comments
43 pages, no figure. Section 9 was rewritten