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

2013/08/24 by Xiliang Fan, Fan, Xiliang
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Fractional Differential Equations Solutions #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1308.5309

openalex publication_date 2013/08/24 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller property are presented.

Citations

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

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