Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions
Fabrice Baudoin, Cheng Ouyang
TL;DR
This paper establishes new gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motions, using innovative integration by parts formulas on the path space.
Contribution
It introduces novel integration by parts formulas on fractional Brownian motion path space to derive functional inequalities for SDE solutions.
Findings
Derived new gradient bounds for fractional SDE solutions
Established functional inequalities using path space integration by parts
Provided tools for analyzing regularity of fractional SDEs
Abstract
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts formulas on the path space of a fractional Brownian motion.
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Taxonomy
TopicsStochastic processes and financial applications · Nonlinear Differential Equations Analysis · Advanced Mathematical Modeling in Engineering