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• W1933291385 abstract "We study a stochastic differential equation in the sense of rough path theory driven by fractional Brownian rough path with Hurst parameter H (1/3 < H <= 1/2) under the ellipticity assumption at the starting point. In such a case, the law of the solution at a fixed time has a kernel, i.e., a density function with respect to Lebesgue measure. In this paper we prove a short time off-diagonal asymptotic expansion of the kernel under mild additional assumptions. Our main tool is Watanabe's distributional Malliavin calculus." @default.
• W1933291385 created "2016-06-24" @default.
• W1933291385 creator A5062840968 @default.
• W1933291385 date "2014-03-13" @default.
• W1933291385 modified "2023-09-22" @default.
• W1933291385 title "Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion" @default.
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• W1933291385 hasPublicationYear "2014" @default.
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