On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
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Publication:4560339
DOI10.1007/978-3-319-11605-1_14zbMath1418.91623arXiv1403.0872OpenAlexW2268243204MaRDI QIDQ4560339
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.0872
rough differential equationsmathematical foundations in non-Markovian situationssmall maturity limit
Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Actuarial science and mathematical finance (91G99)
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Asymptotics for Rough Stochastic Volatility Models, Asymptotic behaviour of randomised fractional volatility models, Short-time near-the-money skew in rough fractional volatility models
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