On integration by parts formula and characterization of fractional Ornstein–Uhlenbeck process

Xiaoxia Sun and Feng Guo

Statistics & Probability Letters, 2015, vol. 107, issue C, 170-177

Abstract: In this paper, we consider the Ornstein–Uhlenbeck process driven by fractional Brownian motion. By showing its pull back formula, we establish the integration by parts formula for such process using the Bismut method. Conversely, we prove that such process can be characterized through its integration by parts formula.

Keywords: Fractional Ornstein–Uhlenbeck process; Pull back formula; Integration by parts formula; Characterization (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.08.023

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