Publications of Cheng Ouyang
On small time asymptotics for rough differential equations driven by fractional brownian motions.
In Large deviations and asymptotic methods in finance, Springer Proceedings in Mathematics & Statistics,
pages 413-438. Springer, 2015.
Fractal dimensions of rough differential equations driven by fractional brownian motions.
Stochastic Processes and Their Applications,
19, 2015. In revision.
On probability laws of solutions to differential systems driven by a fractional brownian motion.
Annals of Probability,
35, 2014.
Gaussian bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motion.
to appear in Annales de l'Institut Henri Poincare. 2013.
Gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motions.
In Malliavin calculus and stochastic analysis: a festschrift in honor of david nualart, volume 34 of Springer Proceedings in Mathematics and Statistics,
pages 413-426. Springer Verlag, 2013.
Small-time expansion for local jump-diffusion models with infinite jump activity .
to appear in Bernoulli. 2013.
Varadhan estimates for stochastic differential equations driven by fractional Brownian motions.
to be submitted soon. 2013.
Asymptotics of implied volatility in local volatility models.
Mathematical Finance,
22:591-620, 2012.
Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions.
Stochastic Processes and their Applications,
121:759-792, 2011.
Quasi-invariance of the Wiener measure on path space over a complete Riemannian manifold.
Journal of Functional Analysis,
257(5):1379–1395, 2009.