Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions

Stochastic Processes and their Applications

Volumn 121, Issue 4, 2011, Pages 759-792

  Baudoin, Fabrice ^a   Ouyang, Cheng ^a  

^a PURDUE UNIVERSITY   (United States)

Author keywords

Fractional Brownian motion; Laplace method; Small times expansion; Stochastic differential equation

Indexed keywords

ASYMPTOTICS; FRACTIONAL BROWNIAN MOTION; HURST PARAMETER; KERNEL EXPANSION; LAPLACE METHOD; SMALL TIMES EXPANSION; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS; EXPANSION; LAPLACE EQUATION; LAPLACE TRANSFORMS; MEASUREMENT THEORY; ROUTERS; STOCHASTIC SYSTEMS;

BROWNIAN MOVEMENT;

EID: 79951680473     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.11.011     Document Type: Article

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