In this article, we consider an n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameterH >1/3. We derive an expansion for E[f (X t )] in terms of t, where X denotes the solution to the SDE and f :ℝ n → ℝ is a regular function. Comparing to F. Baudoin and L. Coutin, Stochastic Process. Appl. 117 (2007) 550-574, where the same problem is studied, we provide an improvement in three different directions: we are able to consider equations with drift, we parametrize our expansion with trees, which makes it easier to use, and we obtain a sharp estimate of the remainder for the case H >1/2.
|Journal||Annales de l'institut Henri Poincare (B) Probability and Statistics|
|Number of pages||18|
|Publication status||Published - 01.02.2009|