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arXiv:math/0509511 [math.PR]AbstractReferencesReviewsResources

Operators associated with stochastic differential equations driven by fractional Brownian motions

Fabrice Baudoin, Laure Coutin

Published 2005-09-22Version 1

In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that invariant measures for such SDEs must satisfy an infinite dimensional system of partial differential equations.

Comments: 26 pages
Categories: math.PR
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