Operators associated with stochastic differential equations driven by fractional Brownian motions
Probability
2007-05-23 v1
Abstract
In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that invariant measures for such SDEs must satisfy an infinite dimensional system of partial differential equations.
Keywords
Cite
@article{arxiv.math/0509511,
title = {Operators associated with stochastic differential equations driven by fractional Brownian motions},
author = {Fabrice Baudoin and Laure Coutin},
journal= {arXiv preprint arXiv:math/0509511},
year = {2007}
}
Comments
26 pages