On small time asymptotics for rough differential equations driven by fractional brownian motions

Fabrice Baudoin; Cheng Ouyang

doi:10.1007/978-3-319-11605-1_14

On small time asymptotics for rough differential equations driven by fractional brownian motions

Fabrice Baudoin^*
, Cheng Ouyang

^*Corresponding author af dette arbejde

Publikation: Bidrag til bog/antologi/rapport/proceeding › Konferencebidrag i proceedings › Forskning › peer review

6 Citationer (Scopus)

Abstract

We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.

Originalsprog	Engelsk
Titel	Large Deviations and Asymptotic Methods in Finance
Redaktører	Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Josef Teichmann, Peter K. Friz, Antoine Jacquier
Antal sider	26
Forlag	Springer
Publikationsdato	2015
Sider	413-438
ISBN (Trykt)	9783319116044
DOI	https://doi.org/10.1007/978-3-319-11605-1_14
Status	Udgivet - 2015
Udgivet eksternt	Ja
Begivenhed	Workshop on Large Deviations and Asymptotic Methods in Finance, 2013 - London, Storbritannien Varighed: 9 apr. 2013 → 11 apr. 2013

Konference

Konference	Workshop on Large Deviations and Asymptotic Methods in Finance, 2013
Land/Område	Storbritannien
By	London
Periode	09/04/2013 → 11/04/2013

Navn	Springer Proceedings in Mathematics and Statistics
Vol/bind	110
ISSN	2194-1009

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Baudoin, Fabrice ; Ouyang, Cheng. / On small time asymptotics for rough differential equations driven by fractional brownian motions. Large Deviations and Asymptotic Methods in Finance. red. / Peter K. Friz ; Jim Gatheral ; Archil Gulisashvili ; Josef Teichmann ; Peter K. Friz ; Antoine Jacquier. Springer, 2015. s. 413-438 (Springer Proceedings in Mathematics and Statistics, Bind 110).

@inproceedings{6c51659814eb442183b4d8c8bbd65210,

title = "On small time asymptotics for rough differential equations driven by fractional brownian motions",

abstract = "We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.",

keywords = "Mathematical foundations in non-Markovian situations, Rough differential equations, Small maturity limit",

author = "Fabrice Baudoin and Cheng Ouyang",

note = "Publisher Copyright: {\textcopyright} Springer International Publishing Switzerland 2015.; Workshop on Large Deviations and Asymptotic Methods in Finance, 2013 ; Conference date: 09-04-2013 Through 11-04-2013",

year = "2015",

doi = "10.1007/978-3-319-11605-1\_14",

language = "English",

isbn = "9783319116044",

series = "Springer Proceedings in Mathematics and Statistics",

publisher = "Springer",

pages = "413--438",

editor = "Friz, \{Peter K.\} and Jim Gatheral and Archil Gulisashvili and Josef Teichmann and Friz, \{Peter K.\} and Antoine Jacquier",

booktitle = "Large Deviations and Asymptotic Methods in Finance",

address = "Netherlands",

}

Baudoin, F & Ouyang, C 2015, On small time asymptotics for rough differential equations driven by fractional brownian motions. i PK Friz, J Gatheral, A Gulisashvili, J Teichmann, PK Friz & A Jacquier (red), Large Deviations and Asymptotic Methods in Finance. Springer, Springer Proceedings in Mathematics and Statistics, bind 110, s. 413-438, Workshop on Large Deviations and Asymptotic Methods in Finance, 2013, London, Storbritannien, 09/04/2013. https://doi.org/10.1007/978-3-319-11605-1_14

On small time asymptotics for rough differential equations driven by fractional brownian motions. / Baudoin, Fabrice; Ouyang, Cheng.
Large Deviations and Asymptotic Methods in Finance. red. / Peter K. Friz; Jim Gatheral; Archil Gulisashvili; Josef Teichmann; Peter K. Friz; Antoine Jacquier. Springer, 2015. s. 413-438 (Springer Proceedings in Mathematics and Statistics, Bind 110).

Publikation: Bidrag til bog/antologi/rapport/proceeding › Konferencebidrag i proceedings › Forskning › peer review

TY - GEN

T1 - On small time asymptotics for rough differential equations driven by fractional brownian motions

AU - Baudoin, Fabrice

AU - Ouyang, Cheng

N1 - Publisher Copyright: © Springer International Publishing Switzerland 2015.

PY - 2015

Y1 - 2015

N2 - We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.

AB - We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.

KW - Mathematical foundations in non-Markovian situations

KW - Rough differential equations

KW - Small maturity limit

UR - https://www.scopus.com/pages/publications/84969172393

U2 - 10.1007/978-3-319-11605-1_14

DO - 10.1007/978-3-319-11605-1_14

M3 - Article in proceedings

AN - SCOPUS:84969172393

SN - 9783319116044

T3 - Springer Proceedings in Mathematics and Statistics

SP - 413

EP - 438

BT - Large Deviations and Asymptotic Methods in Finance

A2 - Friz, Peter K.

A2 - Gatheral, Jim

A2 - Gulisashvili, Archil

A2 - Teichmann, Josef

A2 - Friz, Peter K.

A2 - Jacquier, Antoine

PB - Springer

T2 - Workshop on Large Deviations and Asymptotic Methods in Finance, 2013

Y2 - 9 April 2013 through 11 April 2013

ER -

Baudoin F, Ouyang C. On small time asymptotics for rough differential equations driven by fractional brownian motions. I Friz PK, Gatheral J, Gulisashvili A, Teichmann J, Friz PK, Jacquier A, red., Large Deviations and Asymptotic Methods in Finance. Springer. 2015. s. 413-438. (Springer Proceedings in Mathematics and Statistics, Bind 110). doi: 10.1007/978-3-319-11605-1_14

On small time asymptotics for rough differential equations driven by fractional brownian motions

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