A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus
DOI10.1080/07362994.2015.1051232zbMath1333.60130OpenAlexW1569513490MaRDI QIDQ3194571
Publication date: 20 October 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2015.1051232
asymptotic expansionfractional Brownian motionMalliavin calculusYoung integralsYoung stochastic differential equation
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)
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