Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions

DOI10.1080/07362994.2014.975819zbMath1315.60064arXiv1206.0961OpenAlexW2058176679MaRDI QIDQ5247359

Xiliang Fan

Publication date: 24 April 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0961

zbMATH Keywords

fractional Brownian motionstochastic differential equationsintegration by parts formulashift Harnack inequality

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (7)

Shift Harnack inequality and integration by parts formula for semilinear stochastic partial differential equations ⋮ Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching ⋮ Integration by parts formula for SPDEs with multiplicative noise and its applications ⋮ Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion ⋮ Nonlocal stochastic integro-differential equations driven by fractional Brownian motion ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises ⋮ An integration by parts formula for stochastic heat equations with fractional noise

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