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

DOI10.1214/16-EJP4144zbMath1338.60142arXiv1403.3181WikidataQ115240843 ScholiaQ115240843MaRDI QIDQ287743

Yuzuru Inahama

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3181

zbMATH Keywords

fractional Brownian motionMalliavin calculusrough path theoryshort time asymptotic expansion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Limit theorems in probability theory (60F99)

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