Asymptotic expansion of the density for hypoelliptic rough differential equation

2019/02/14 by Yuzuru Inahama, Inahama, Yuzuru, Nobuaki Naganuma +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60G22 #FOS: Mathematics #Mathematical Dynamics and Fractals #Primary: 60H07 #Probability (math.PR) #Secondary: 60F99 #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1902.05219

openalex publication_date 2019/02/14 · openalex created_date 2019/02/21 · openalex updated_date 2026/07/28

Abstract

We study a rough differential equation driven by fractional Brownian motion with Hurst parameter H (1/4

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• Fractional Diffusion Bridges

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