arXiv subjects

Cheng Ouyang

Publications and source records attributed to Cheng Ouyang.

74 records · Page 5Linked to original sources

arXiv2011

Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

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.

math.PR↗

arXiv2010

Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions

In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to that in the Brownian motion case.

math.PR↗