Add to ORKGThe goal of this paper is to show that under some assumptions, for a d-dimensional fractional Brownian motion with Hurst parameter H>1/2, the density of the solution of the stochastic differential equation admits the following asymptotics at small times:Fractional Brownian motion Small times expansion Laplace method Stochastic differential equation
We study the approximation of stochastic differential equations driven by a fractional Brownian moti...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this article, we introduce a Wong-Zakai type stationary approximation to the fractional Brownian ...
AbstractThe goal of this paper is to show that under some assumptions, for a d-dimensional fractiona...
In this thesis, we investigate the properties of solution to the stochastic differential equation dr...
International audienceIn this article, we consider an n-dimensional stochastic differential equation...
In this paper we consider n-dimensional mixed type stochastic differential equations driven by multi...
In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Br...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
In this paper we develop sensitivity analyses w.r.t. the long-range/memory noise parameter for solut...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
International audienceWe present an innovating sensitivity analysis for stochastic differential equa...
Stochastic analysis with respect to fractional Brownian motion. Fractional Brownian motion (fBM for ...
Abstract. In this paper we study the existence and uniqueness of a class of stochastic differential ...
We study the approximation of stochastic differential equations driven by a fractional Brownian moti...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this article, we introduce a Wong-Zakai type stationary approximation to the fractional Brownian ...
AbstractThe goal of this paper is to show that under some assumptions, for a d-dimensional fractiona...
In this thesis, we investigate the properties of solution to the stochastic differential equation dr...
International audienceIn this article, we consider an n-dimensional stochastic differential equation...
In this paper we consider n-dimensional mixed type stochastic differential equations driven by multi...
In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Br...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
In this paper we develop sensitivity analyses w.r.t. the long-range/memory noise parameter for solut...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
International audienceWe present an innovating sensitivity analysis for stochastic differential equa...
Stochastic analysis with respect to fractional Brownian motion. Fractional Brownian motion (fBM for ...
Abstract. In this paper we study the existence and uniqueness of a class of stochastic differential ...
We study the approximation of stochastic differential equations driven by a fractional Brownian moti...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
In this article, we introduce a Wong-Zakai type stationary approximation to the fractional Brownian ...