| Título: | Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions |
| Autores: |
Baudoin, Fabrice; Purdue University Zhang, Xuejing; Purdue University |
| Fecha: | 2012-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: | taylor expansion, fractional Brownian motion |
| Descripción: | We study the Taylor expansion for the solution of a differential equation driven by a multi-dimensional Hölder path with exponent $H> 1/2$. We derive a convergence criterion that enables us to write the solution as an infinite sum of iterated integrals on a non empty interval. We apply our deterministic results to stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H > 1/2$. We also study the convergence in L2 of the stochastic Taylor expansion by using L2 estimates of iterated integrals and Borel-Cantelli type arguments. |
| Idioma: | Inglés |
1 Lévy Classes and Self-Normalization por Khoshnevisan, Davar; University of Utah | 6 Time-Space Analysis of the Cluster-Formation in Interacting Diffusions por Fleischmann, Klaus; Weierstrass Institute for Applied Analysis and Stochastics,Greven, Andreas; Universitat Erlangen-Nurnberg |
2 Hausdorff Dimension of Cut Points for Brownian Motion por Lawler, Gregory F.; Duke University and Cornell University | 7 Conditional Moment Representations for Dependent Random Variables por Bryc, Wlodzimierz; University of Cincinnati |
3 Eigenvalue Expansions for Brownian Motion with an Application to Occupation Times por Bass, Richard F.; University of Washington,Burdzy, Krzysztof; University of Washington | 8 Almost Sure Exponential Stability of Neutral Differential Difference Equations with Damped Stochastic Perturbations por Liao, Xiao Xin; University of Strathclyde,Mao, Xuerong; University of Strathclyde |
4 Random Discrete Distributions Derived from Self-Similar Random Sets por Pitman, Jim; University of California, Berkeley,Yor, Marc; Université Pierre et Marie Curie | 9 Quantitative Bounds for Convergence Rates of Continuous Time Markov Processes por Roberts, Gareth O.; University of Cambridge,Rosenthal, Jeffrey S.; University of Toronto |
5 A Microscopic Model for the Burgers Equation and Longest Increasing Subsequences por Seppäläinen, Timo; Iowa State University | 10 Metastability of the Three Dimensional Ising Model on a Torus at Very Low Temperatures por Ben Arous, Gérard; Ecole Normale Supérieure,Cerf, Raphaël; Université Paris Sud |