Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
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Publication:5268386
DOI10.1142/S0219493717500289zbMath1367.60081OpenAlexW2418607525MaRDI QIDQ5268386
Publication date: 20 June 2017
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493717500289
Harnack inequalityfractional Brownian motionMalliavin calculusBismut formulastochastic functional differential equations
Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (6)
Bismut formula for a stochastic heat equation with fractional noise ⋮ Distribution dependent SDEs driven by fractional Brownian motions ⋮ Bismut formula for Lions derivative of distribution-path dependent SDEs ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
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