Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives

DOI10.1007/978-3-319-65313-6_9zbMath1382.60064arXiv1702.03796OpenAlexW2597208348MaRDI QIDQ1703897

Denis Talay, Alexandre Richard

Publication date: 8 March 2018

Full work available at URL: https://arxiv.org/abs/1702.03796

zbMATH Keywords

fractional Brownian motionMalliavin calculusfirst hitting time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion ⋮ The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications ⋮ A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion ⋮ Kolmogorov distance between the exponential functionals of fractional Brownian motion

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