Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory

Yuzuru Inahama

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Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory

机译：基于渡边分布理论的年轻SDE的短时核渐近性

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摘要

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 ＜ H ＜ 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 functional.

机译：在本文中，我们研究了当系数矢量场在开始时满足椭圆率条件时，由分数布朗运动驱动的具有Hurst参数H（1/2 ＜H ＜1）的随机微分方程解的密度函数的短时渐近渐近性点。在温和的附加假设下，我们证明了对角线和对角线的渐近性。我们的主要工具是Malliavin微积分，特别是Watanabe的广义Wiener函数理论。

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来源
《Journal of the Mathematical Society of Japan》 |2016年第2期|535-577|共43页
作者
Yuzuru Inahama;
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作者单位

Graduate School of Mathematics Kyushu University 744, Motooka, Nishi-ku Fukuoka 819-0395, Japan;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
fractional Brownian motion; Young integral; stochastic differential equation; Malliavin calculus; Watanabe distribution; short time asymptotics;

机译：分数布朗运动杨积分随机微分方程Malliavin结石;渡边发行;短时渐近;

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机译：利用Watanabe对Young sDE的短时内核渐近性分配理论

Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory

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