Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
Abstract
In this paper we study short time asymptotics of a density function of the solution of a stochastic differential equation driven by fractional Brownian motion with Hurst parameter H ∈ (1/2, 1) when the coefficient vector fields satisfy an ellipticity condition at the starting point. We prove both on-diagonal and off-diagonal asymptotics under mild additional assumptions. Our main tool is Malliavin calculus, in particular, Watanabe's theory of generalized Wiener functionals.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.