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

Published 19 May 2010 in math.PR | (1005.3483v1)

Abstract: In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to that in the Brownian motion case.

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