Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    Abstract

    We study a stochastic differential equation in the sense of rough path theory driven by fractional Brownian rough path with Hurst parameter H (1=3 < H ≤ 1=2) under the ellipticity assumption at the starting point. In such a case, the law of the solution at a fixed time has a kernel, i.e., a density function with respect to Lebesgue measure. In this paper we prove a short time off-diagonal asymptotic expansion of the kernel under mild additional assumptions. Our main tool is Watanabe’s distributional Malliavin calculus.

    Original languageEnglish
    Article number34
    JournalElectronic Journal of Probability
    Volume21
    DOIs
    Publication statusPublished - 2016

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

    Fingerprint

    Dive into the research topics of 'Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion'. Together they form a unique fingerprint.

    Cite this