Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

Details Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

2011-02-22

arxiv.org/abs/1102.4601v1

Mathematics

Probability

The paper is dedicated to Pr. David Nualart 60th's birthday

Scientific paper

We study some functional inequalities satisfied by the distribution of the
solution of a stochastic differential equation driven by fractional Brownian
motions. Such functional inequalities are obtained through new integration by
parts formulas on the path space of a fractional Brownian motion.

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