Asymptotic expansions at any time for scalar fractional SDEs with Hurst index H>1/2
Darses, Sébastien ; Nourdin, Ivan
Bernoulli, Tome 14 (2008) no. 1, p. 822-837 / Harvested from Project Euclid
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We study the asymptotic expansions with respect to h of ¶ E[Δhf(Xt)],  E[Δhf(Xt)|ℱtX] and E[Δhf(Xt)|Xt], ¶ where Δhf(Xt)=f(Xt+h)−f(Xt), when f:ℝ→ℝ is a smooth real function, t≥0 is a fixed time, X is the solution of a one-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst index H>1/2 and ℱX is its natural filtration.
Publié le : 2008-08-15
Classification:  asymptotic expansion,  fractional Brownian motion,  Malliavin calculus,  stochastic differential equation 
@article{1219669631,
     author = {Darses, S\'ebastien and Nourdin, Ivan},
     title = {Asymptotic expansions at any time for scalar fractional SDEs with Hurst index H>1/2},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 822-837},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1219669631}
}

Darses, Sébastien; Nourdin, Ivan. Asymptotic expansions at any time for scalar fractional SDEs with Hurst index H>1/2. Bernoulli, Tome 14 (2008) no. 1, pp.  822-837. http://gdmltest.u-ga.fr/item/1219669631/