ASYMPTOTIC EXPANSION of the DENSITY for HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

Yuzuru Inahama, Nobuaki Naganuma

研究成果: Contribution to journalArticle査読

抄録

We study a rough differential equation driven by fractional Brownian motion with Hurst parameter <![CDATA[(1/4. Under Hörmander's condition on the coefficient vector fields, the solution has a smooth density for each fixed time. Using Watanabe's distributional Malliavin calculus, we obtain a short time full asymptotic expansion of the density under quite natural assumptions. Our main result can be regarded as a fractional version of Ben Arous' famous work on the off-diagonal asymptotics.

本文言語英語
ページ(範囲)11-41
ページ数31
ジャーナルNagoya Mathematical Journal
243
DOI
出版ステータス出版済み - 9 2021

All Science Journal Classification (ASJC) codes

  • 数学 (全般)

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