Article ID Journal Published Year Pages File Type
7549351 Statistics & Probability Letters 2015 9 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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