Integration by parts formula and applications for SDE driven by fractional Brownian motion

2012/06/05 by Xiliang Fan, Fan, Xiliang · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1206.0961

openalex publication_date 2012/06/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

By constructing a new family of successful couplings, the Driver-type integration by parts formula is established for the operator associated with stochastic differential equation driven by fractional Brownian motion. As applications, shift Harnack type inequalities are presented and then the absolute continuity of the solution is proved.

Citations

• Integration by Parts Formula and Applications for SDEs with Lévy Noise

Cited by

• Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions

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