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New Asymptotic Expansion Formula via Malliavin Calculus and Its Application to Rough Differential Equation Driven by Fractional

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  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

  • Toshihiro Yamada

    (Graduate School of Economics, Hitotsubashi University)

Abstract

This paper presents a novel generic asymptotic expansion formula of expectations of multidimensional Wiener functionals through a Malliavin calculus technique. The uniform estimate of　the asymptotic expansion is shown under a weaker condition on the Malliavin covariance matrix of the target Wiener functional. In particular, the method provides a tractable expansion for the expectation of an irregular functional of the solution to a multidimensional rough differential equation driven by fractional Brownian motion with Hurst index H

Suggested Citation

  • Akihiko Takahashi & Toshihiro Yamada, 2023. "New Asymptotic Expansion Formula via Malliavin Calculus and Its Application to Rough Differential Equation Driven by Fractional," CIRJE F-Series CIRJE-F-1215, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2023cf1215
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2023/2023cf1215.pdf
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    References listed on IDEAS

    as
    1. Naoto Kunitomo & Akihiko Takahashi, 2001. "The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 117-151, January.
    2. Akihiko Takahashi & Nakahiro Yoshida, 2005. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-335, CIRJE, Faculty of Economics, University of Tokyo.
    3. Song, Jian & Tindel, Samy, 2022. "Skorohod and Stratonovich integrals for controlled processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 569-595.
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