On small time asymptotics for rough differential equations driven by fractional Brownian motions

Fabrice Baudoin; Cheng Ouyang

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arXiv · 1403.0872

On small time asymptotics for rough differential equations driven by fractional Brownian motions

Fabrice Baudoin·Cheng Ouyang

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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.

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Fabrice Baudoin, Cheng Ouyang. 2014-03-04. On small time asymptotics for rough differential equations driven by fractional Brownian motions. https://arxiv.org/abs/1403.0872

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