Asymptotic expansion of the quadratic variation of fractional stochastic differential equation

DOI10.1016/J.SPA.2024.104389MaRDI QIDQ6596203

Publication date: 2 September 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansion fractional Brownian motion Malliavin calculus fractional stochastic differential equation Skorohod integral mixed normal distribution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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