Asymptotics in small time for the density of a stochastic differential equation driven by a stable LEVY process.

Summary This work focuses on the asymptotic behavior of the density in small time of a stochastic differential equation driven by an α-stable process with index α ∈ (0, 2). We assume that the process depends on a parameter β = (θ, σ) T and we study the sensitivity of the density with respect to this parameter. This extends the results of [5] which was restricted to the index α ∈ (1, 2) and considered only the sensitivity with respect to the drift coefficient. By using Malliavin calculus, we obtain the representation of the density and its derivative as an expectation and a conditional expectation. This permits to analyze the asymptotic behavior in small time of the density, using the time rescaling property of the stable process. MSC2010: 60G51. 60G52. 60H07. 60H20. 60H10. 60J75.