Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549351 | Statistics & Probability Letters | 2015 | 9 Pages |
Abstract
This paper shows an explicit small time expansion formula of expectation of the solution to Young SDEs driven by fractional Brownian motion H>1/2. The expansion coefficients are obtained by using Malliavin calculus for fractional Brownian motion. Furthermore, we show an analytically tractable expansion formula for the expectation of the solution to a general one-dimensional Young SDE driven by fractional Brownian motion and confirm the validity of our small time expansion through numerical experiments.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Toshihiro Yamada,