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ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

Part of: Stochastic processes Stochastic analysis Limit theorems

Published online by Cambridge University Press:  04 November 2019

YUZURU INAHAMA  and
NOBUAKI NAGANUMA
YUZURU INAHAMA
Affiliation:
Graduate School of Mathematics, Kyushu University. 744, Motooka, Nishi-ku, Fukuoka, 819-0395, Japan email inahama@math.kyushu-u.ac.jp
NOBUAKI NAGANUMA
Affiliation:
Graduate School of Engineering Science, Osaka University. 1-3, Machikaneyama, Toyonaka, Osaka, 560-8531, Japan email naganuma@sigmath.es.osaka-u.ac.jp
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Abstract

We study a rough differential equation driven by fractional Brownian motion with Hurst parameter $H$$(1/4<H\leqslant 1/2)$. Under Hörmander’s condition on the coefficient vector fields, the solution has a smooth density for each fixed time. Using Watanabe’s distributional Malliavin calculus, we obtain a short time full asymptotic expansion of the density under quite natural assumptions. Our main result can be regarded as a “fractional version” of Ben Arous’ famous work on the off-diagonal asymptotics.

MSC classification

Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60F99: None of the above, but in this section 60G22: Fractional processes, including fractional Brownian motion
Type
Article
Information
Nagoya Mathematical Journal , Volume 243 , September 2021 , pp. 11 - 41
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Copyright
© 2019 Foundation Nagoya Mathematical Journal

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Footnotes

The first author was partially supported by JSPS KAKENHI Grant Number JP15K04922. The second author was partially supported by JSPS KAKENHI Grant Number JP17K14202.

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