Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions
Probability
2011-02-23 v1
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.
Keywords
Cite
@article{arxiv.1102.4601,
title = {Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions},
author = {Fabrice Baudoin and Cheng Ouyang},
journal= {arXiv preprint arXiv:1102.4601},
year = {2011}
}
Comments
The paper is dedicated to Pr. David Nualart 60th's birthday