Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion

Oussama Amine; David R. Baños; Frank Proske

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arXiv · 1805.04889

Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion

Oussama Amine·David R. Baños·Frank Proske

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Abstract

In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on Fourier analysis based variational calculus techniques and on intrinsic properties of the fractional Brownian motion.

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BibTeX RIS

Oussama Amine, David R. Baños, Frank Proske. 2018-05-13. Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. https://arxiv.org/abs/1805.04889

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