In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rather elementary way, following the approach of Gubinelli, we show how to obtain 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. With respect to the work by Baudoin and Coutin, where the same kind of problem is considered, we try an improvement in three different directions: we are able to take a drift into account in the equation, we parametrize our expansion with trees (which makes it easier to use), and we obtain a sharp control of the remainder.
Dieser Eintrag ist Teil der Universitätsbibliographie.
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