Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

2011/02/22 by Baudoin, Fabrice, Ouyang, Cheng
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1102.4601

Abstract

We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts formulas on the path space of a fractional Brownian motion.

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