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Varadhan estimates for rough differential equations driven by fractional Brownian motions

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  • Baudoin, Fabrice
  • Ouyang, Cheng
  • Zhang, Xuejing

Abstract

In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>14 and establish Varadhan’s small time estimates for the density of solutions of such equations under Hörmander’s type conditions.

Suggested Citation

  • Baudoin, Fabrice & Ouyang, Cheng & Zhang, Xuejing, 2015. "Varadhan estimates for rough differential equations driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 634-652.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:2:p:634-652
    DOI: 10.1016/j.spa.2014.09.012
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    References listed on IDEAS

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    1. Nualart, David & Ouknine, Youssef, 2002. "Regularization of differential equations by fractional noise," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 103-116, November.
    2. Nualart, David & Saussereau, Bruno, 2009. "Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 391-409, February.
    3. Baudoin, Fabrice & Ouyang, Cheng, 2011. "Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 759-792, April.
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    Cited by:

    1. Xi Geng & Cheng Ouyang & Samy Tindel, 2023. "Precise Local Estimates for Differential Equations driven by Fractional Brownian Motion: Elliptic Case," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1341-1367, September.
    2. Martin Forde & Hongzhong Zhang, 2016. "Asymptotics for rough stochastic volatility models," Papers 1610.08878, arXiv.org, revised Mar 2021.
    3. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.

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