Discussion Papers 2023
CIRJE-F-1215 | "New Asymptotic Expansion Formula via Malliavin Calculus and Its Application to Rough Differential Equation Driven by Fractional Brownian Motion" |
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Author Name | Akihiko Takahashi and Toshihiro Yamada |
Date | June 2023 |
Full Paper | PDF file |
Remarks | Revised in February and April 2024; forthcoming in Asymptotic Analysis. |
Abstract |
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This paper presents a novel generic asymptotic expansion formula of expectations of multidimensional Wiener functionals through a Malliavin calculus technique. The uniform estimate of the asymptotic expansion is shown under a weaker condition on the Malliavin covariance matrix |
Keywords: Asymptotic expansion, Wiener functional, Malliavin calculus, Rough differential equation, Fractional Brownian motion |