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

Xiliang Fan ()
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Xiliang Fan: Anhui Normal University

Journal of Theoretical Probability, 2019, vol. 32, issue 3, 1360-1381

Abstract: Abstract For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $$H>1/2$$ H > 1 / 2 , 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.

Keywords: Derivative formula; Harnack-type inequality; Fractional Brownian motion; Malliavin calculus; Coupling; 60H15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10959-018-0822-4

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