Operators associated with stochastic differential equations driven by fractional Brownian motions

Details Operators associated with stochastic differential equations driven by fractional Brownian motions Operators associated with stochastic differential equations driven by fractional Brownian motions

2005-09-22

arxiv.org/abs/math/0509511v1

Mathematics

Probability

26 pages

Scientific paper

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.

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