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 Ptg(x) = Eg(Xxt) for small t, where Xxt denotes the solution of the mentioned equation with an initial value x, and g : Rn → R is a sufficiently smooth function.