New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion.
Akihiko TakahashiToshihiro YamadaPublished in: CoRR (2023)
Keyphrases
- differential equations
- fractional brownian motion
- nonlinear differential equations
- long range
- non stationary
- long range dependence
- dynamical systems
- fractal dimension
- numerical solution
- ordinary differential equations
- continuous functions
- boundary value problem
- difference equations
- random fields
- numerical methods
- financial markets
- brownian motion
- partial differential equations
- conditional random fields
- bayesian networks
- long term
- feature extraction
- reinforcement learning
- multiscale