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Operators associated with stochastic differential equations driven by fractional Brownian motions

Fabrice Baudoin·Laure Coutin
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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.

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Fabrice Baudoin, Laure Coutin. 2005-09-22. Operators associated with stochastic differential equations driven by fractional Brownian motions. https://arxiv.org/abs/math/0509511

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