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

Fabrice Baudoin and Cheng Ouyang

Stochastic Processes and their Applications, 2011, vol. 121, issue 4, 759-792

Abstract: The goal of this paper is to show that under some assumptions, for a d-dimensional fractional Brownian motion with Hurst parameter H>1/2, the density of the solution of the stochastic differential equation admits the following asymptotics at small times:

Keywords: Fractional; Brownian; motion; Small; times; expansion; Laplace; method; Stochastic; differential; equation (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(10)00269-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:121:y:2011:i:4:p:759-792

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().