On probability laws of solutions to differential systems driven by a fractional Brownian motion (Q317474)
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scientific article; zbMATH DE number 6631779
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On probability laws of solutions to differential systems driven by a fractional Brownian motion |
scientific article; zbMATH DE number 6631779 |
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On probability laws of solutions to differential systems driven by a fractional Brownian motion (English)
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30 September 2016
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In this paper, differential equations driven by a fractional Brownian motion are considered. Some conditions for strict positivity of the density of solutions are found and exponential bounds for this density when the diffusion coefficient satisfies an elliptic type condition are obtained. Some bounds on the hitting probabilities of sets by fractional differential systems in terms of Newtonian capacities are derived.
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stochastic differential equations
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fractional Brownian motion
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rough paths
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Malliavin calculus
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hitting probability
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