Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
Probability
2010-05-20 v1
Abstract
In this paper we show that under some assumptions, for a -dimensional fractional Brownian motion with Hurst parameter , the density of solution of stochastic differential equation driven by it has a short-time expansion similar to that in the Brownian motion case.
Keywords
Cite
@article{arxiv.1005.3483,
title = {Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions},
author = {Fabrice Baudoin and Cheng Ouyang},
journal= {arXiv preprint arXiv:1005.3483},
year = {2010}
}