most citedAsymptotic expansions at any time for scalar fractional SDEs with Hurst index

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math.PR2007★ 1 cited

Asymptotic expansions at any time for scalar fractional SDEs with Hurst index

Sébastien Darses, Ivan Nourdin

We study the asymptotic expansions with respect to of \[\mathrm{E}[Δ_hf(X_t)],\qquad \mathrm{E}[Δ_hf(X_t)|\mathscr{F}^X_t]\quadand\quad \mathrm{E}[Δ_hf(X_t)|X_t],\] where $Δ_hf…