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

Fabrice Baudoin; Cheng Ouyang

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arXiv · 1005.3483

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

Fabrice Baudoin·Cheng Ouyang

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Abstract

In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to that in the Brownian motion case.

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Fabrice Baudoin, Cheng Ouyang. 2010-05-19. Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions. https://arxiv.org/abs/1005.3483

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