Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions
In this article, n-dimensional stochastic differential equations driven by multivariate fractional Brownian motions with the Hurst indices greater than 1/3 and a drift term are considered. We have obtained an expansion of expectations P<sub>t</sub>g(x) = Eg(X<sup>x</sup><sub>t</sub>) for small t, where X<sup>x</sup><sub>t</sub> denotes the solution of the mentioned equation with an initial value x, and g : R<sup>n</sup> → R is a sufficiently smooth function.