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arXiv · 1206.0961

Integration by parts formula and applications for SDE driven by fractional Brownian motion

Xiliang Fan
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Abstract

By constructing a new family of successful couplings, the Driver-type integration by parts formula is established for the operator associated with stochastic differential equation driven by fractional Brownian motion. As applications, shift Harnack type inequalities are presented and then the absolute continuity of the solution is proved.

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Xiliang Fan. 2014-07-28. Integration by parts formula and applications for SDE driven by fractional Brownian motion. https://arxiv.org/abs/1206.0961

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