Derivative Formulas and Applications for Degenerate Stochastic Differential Equations with Fractional Noises

被引:0
|
作者
Xiliang Fan
机构
[1] Anhui Normal University,Department of Statistics
来源
Journal of Theoretical Probability | 2019年 / 32卷
关键词
Derivative formula; Harnack-type inequality; Fractional Brownian motion; Malliavin calculus; Coupling; 60H15;
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学科分类号
摘要
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter H>1/2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H>1/2$$\end{document}, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find some relation between these two approaches. As applications, the (log) Harnack inequalities and the hyperbounded property are presented.
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页码:1360 / 1381
页数:21
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