Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions
Probability
2014-07-29 v2
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.
Keywords
Cite
@article{arxiv.1308.5309,
title = {Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions},
author = {Xiliang Fan},
journal= {arXiv preprint arXiv:1308.5309},
year = {2014}
}