Open Access
Translator Disclaimer
April, 2016 Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
Yuzuru INAHAMA
J. Math. Soc. Japan 68(2): 535-577 (April, 2016). DOI: 10.2969/jmsj/06820535

Abstract

In this paper we study short time asymptotics of a density function of the solution of a stochastic differential equation driven by fractional Brownian motion with Hurst parameter $H$ (1/2 < $H$ < 1) when the coefficient vector fields satisfy an ellipticity condition at the starting point. We prove both on-diagonal and off-diagonal asymptotics under mild additional assumptions. Our main tool is Malliavin calculus, in particular, Watanabe's theory of generalized Wiener functionals.

Citation

Download Citation

Yuzuru INAHAMA. "Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory." J. Math. Soc. Japan 68 (2) 535 - 577, April, 2016. https://doi.org/10.2969/jmsj/06820535

Information

Published: April, 2016
First available in Project Euclid: 15 April 2016

zbMATH: 1343.60073
MathSciNet: MR3488135
Digital Object Identifier: 10.2969/jmsj/06820535

Subjects:
Primary: 60H07
Secondary: 60F99 , 60G15 , 60H10

Keywords: fractional Brownian motion , Malliavin calculus , short time asymptotics , Stochastic differential equation , Watanabe distribution , Young integral

Rights: Copyright © 2016 Mathematical Society of Japan

JOURNAL ARTICLE
43 PAGES


SHARE
Vol.68 • No. 2 • April, 2016
Back to Top