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

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

2010-05-19

arxiv.org/abs/1005.3483v1

Mathematics

Probability

Scientific paper

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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