Borel summation of the small time expansion of some SDE's driven by Gaussian white noise

Sergio Albeverio, Boubaker Smii*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

We consider stochastic differential equations with a drift term of gradient type and driven by Gaussian white noise on R d . Particular attention is given to the kernel p t , t > 0 of the transition semigroup associated with the solution process. Under some rather strong regularity and growth assumptions on the coefficients, we adapt previous work by Thierry Hargé on Schrödinger operators and prove that the small time asymptotic expansion of p t , t > 0 is Borel summable. We also briefly indicate some extensions and applications.

Original languageEnglish
Pages (from-to)211-223
Number of pages13
JournalAsymptotic Analysis
Volume114
Issue number3-4
DOIs
StatePublished - 2019

Bibliographical note

Publisher Copyright:
© 2019 - IOS Press and the authors. All rights reserved.

Keywords

  • Borel summability
  • SDEs
  • asymptotic expansions

ASJC Scopus subject areas

  • General Mathematics

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