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- W2144741805 abstract "In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H > 1/3. After solving this equation in a rather elementary way, following the approach of [10], we show how to obtain an expansion for E[f(Xt)] in terms of t, where X denotes the solution to the SDE and f : R n → R is a regular function. With respect to [2], where the same kind of problem is considered, we try an improvement in three different directions: we are able to take a drift into account in the equation, we parametrize our expansion with trees (which makes it easier to use), and we obtain a sharp control of the remainder." @default.
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- W2144741805 date "2006-11-10" @default.
- W2144741805 modified "2023-09-23" @default.
- W2144741805 title "Trees and asymptotic developments for fractional stochastic differential equations" @default.
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