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

Springer Proceedings in Mathematics and Statistics (2015) 110 413-438
DOI: 10.1007/978-3-319-11605-1_14
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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.

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Baudoin, F., & Ouyang, C. (2015). On small time asymptotics for rough differential equations driven by fractional brownian motions. In Springer Proceedings in Mathematics and Statistics (Vol. 110, pp. 413–438). Springer New York LLC. https://doi.org/10.1007/978-3-319-11605-1_14

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