Derivative formulas and applications for degenerate SDEs with fractional noises
Probability
2018-03-02 v2
Abstract
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter , the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find some relation between these two approaches. As applications, the (log) Harnack inequalities and the hyperbounded property are presented.
Keywords
Cite
@article{arxiv.1707.04893,
title = {Derivative formulas and applications for degenerate SDEs with fractional noises},
author = {Xiliang Fan},
journal= {arXiv preprint arXiv:1707.04893},
year = {2018}
}