Asymptotic expansions at any time for scalar fractional SDEs with Hurst index H>1/2
Darses, Sébastien · Nourdin, Ivan
Original · EN
We study the asymptotic expansions with respect to h of E[Δₕf(Xₜ)], E[Δₕf(Xₜ)|Fˣₜ] E[Δₕf(Xₜ)|Xₜ], where Δₕf(Xₜ)=f(Xₜ₊ₕ)-f(Xₜ), when f: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.
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.