A formula of small time expansion for Young SDE driven by fractional Brownian motion

Toshihiro Yamada

Statistics & Probability Letters, 2015, vol. 101, issue C, 64-72

Abstract: This paper shows an explicit small time expansion formula of expectation of the solution to Young SDEs driven by fractional Brownian motion H>1/2. The expansion coefficients are obtained by using Malliavin calculus for fractional Brownian motion. Furthermore, we show an analytically tractable expansion formula for the expectation of the solution to a general one-dimensional Young SDE driven by fractional Brownian motion and confirm the validity of our small time expansion through numerical experiments.

Keywords: Small time expansion; SDEs driven by fractional Brownian motions; Malliavin calculus; Young integrals (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.02.011

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