Operators associated with stochastic differential equations driven by fractional Brownian motions

2005/09/22 by Fabrice Baudoin, Baudoin, Fabrice, Laure Coutin +1 · 1 citation
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.math/0509511

26 pages

arxiv created 2005/09/22 · arxiv updated 2009/12/01

Abstract

In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that invariant measures for such SDEs must satisfy an infinite dimensional system of partial differential equations.

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