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.
|Journal||Electronic Journal of Probability|
|Publication status||Published - 2016|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty