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

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.

References in corpus (2)

• Large deviations for rough paths of the fractional Brownian motion
• Stochastic Taylor expansions and heat kernel asymptotics