New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
DOI10.3233/asy-241910MaRDI QIDQ6628953
Toshihiro Yamada, Akihiko Takahashi
Publication date: 29 October 2024
Published in: Asymptotic Analysis (Search for Journal in Brave)
asymptotic expansionfractional Brownian motionMalliavin calculusWiener functionalrough differential equation
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Asymptotic expansions of solutions to PDEs (35C20) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs with randomness, stochastic partial differential equations (35R60) Partial differential equations of mathematical physics and other areas of application (35Q99)
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