Operators associated with a stochastic differential equation driven by fractional Brownian motions

Fabrice Baudoin and Laure Coutin

Stochastic Processes and their Applications, 2007, vol. 117, issue 5, 550-574

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

Keywords: Fractional; Brownian; motion; Rough; paths; theory; Stochastic; differential; equation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (12)

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