On the (non)stationary density of fractional-driven stochastic differential equations

DOI10.1214/23-aop1638arXiv2204.06329OpenAlexW4388617926MaRDI QIDQ6183246

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Publication date: 26 January 2024

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.06329

zbMATH Keywords

fractional Brownian motionGirsanov theoremsmooth densityGaussian-type boundsparameter-dependent SDEsmoothness of the invariant densityWiener-Liouville bridge

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ergodicity, mixing, rates of mixing (37A25)

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