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arXiv:1102.4601 [math.PR]AbstractReferencesReviewsResources

Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

Fabrice Baudoin, Cheng Ouyang

Published 2011-02-22Version 1

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.

Comments: The paper is dedicated to Pr. David Nualart 60th's birthday
Categories: math.PR
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