How to cite item

Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions

   
@article{EJP2136,
	author = {Fabrice Baudoin and Xuejing Zhang},
	title = {Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {17},
	year = {2012},
	keywords = {taylor expansion, fractional Brownian motion},
	abstract = {We study the Taylor expansion for the solution of a differential equation driven by a multi-dimensional Hölder path with exponent  $H> 1/2$. We derive a convergence criterion that enables us to write the solution as an infinite sum of iterated integrals on a non empty interval. We apply our deterministic results to stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H > 1/2$. We also study the convergence in L2 of the stochastic Taylor expansion by using L2 estimates of iterated integrals and Borel-Cantelli type arguments.},
	pages = {no. 51, 1-21},
	issn = {1083-6489},
	doi = {10.1214/EJP.v17-2136},    
        url = {http://ejp.ejpecp.org/article/view/2136}}