Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions
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Publication:456193
DOI10.1214/EJP.v17-2136zbMath1252.60052arXiv1112.2760WikidataQ115240715 ScholiaQ115240715MaRDI QIDQ456193
Fabrice Baudoin, Xuejing Zhang
Publication date: 23 October 2012
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.2760
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Perturbed linear rough differential equations ⋮ A formula of small time expansion for Young SDE driven by fractional Brownian motion ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion ⋮ Taylor schemes for rough differential equations and fractional diffusions ⋮ On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
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