Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory

DOI10.2969/jmsj/06820535zbMath1343.60073arXiv1110.2604OpenAlexW2963903135MaRDI QIDQ296530

Yuzuru Inahama

Publication date: 23 June 2016

Published in: Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2604

zbMATH Keywords

stochastic differential equationfractional Brownian motionMalliavin calculusYoung integralshort time asymptoticsWatanabe distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Limit theorems in probability theory (60F99)

Related Items (7)

Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM ⋮ On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions ⋮ Positivity of the density for rough differential equations ⋮ Smoothness of the density for solutions to Gaussian rough differential equations ⋮ Bridge representation and modal-path approximation ⋮ Varadhan estimates for rough differential equations driven by fractional Brownian motions ⋮ ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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