The existence of the density for the solution of stochastic differential equation driven by fractional Brownian motion with Markovian switching

DOI10.1360/N012015-00085zbMath1488.60152OpenAlexW2409688891WikidataQ115238683 ScholiaQ115238683MaRDI QIDQ5018039

Xiaobin Sun, Yingchao Xie

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012015-00085

zbMATH Keywords

stochastic differential equationfractional Brownian motionMalliavin calculusMarkovian switching

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices

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