A remark on the mean square distance between the solutions of fractional SDEs and Brownian SDEs

DOI10.1080/17442508.2011.625175zbMath1271.60071OpenAlexW2091914259MaRDI QIDQ4648573

Bruno Saussereau

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.625175

zbMATH Keywords

fractional Brownian motionMalliavin calculusfractional calculusexistence of a solutionfractional stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

A stability result for stochastic differential equations driven by fractional Brownian motions ⋮ Kolmogorov distance between the exponential functionals of fractional Brownian motion

Cites Work

• Unnamed Item
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• Stochastic integration with respect to Volterra processes
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs
• Relatively compact families of functionals on abstract Wiener space and applications
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
• A version of Hörmander's theorem for the fractional Brownian motion
• An inequality of the Hölder type, connected with Stieltjes integration
• The Malliavin Calculus and Related Topics