Derivative formulas and applications for degenerate stochastic differential equations with fractional noises (Q2312776): Difference between revisions

The authors study a degenerate additive stochastic differential equation driven by a fractional Brownian motion with Hurst paramter $H>\frac 12$. Let $P_tf$ denote the average of a function $f$ evaluated at the solution at time $t$. They obtain a formula for the derivative $P_tf$ in Theorem 3.2 and a special integration by parts formula in the sense of Malliavin calculus in Theorem 3.1. These are obtained by the perturbation method and by Malliavin calculus respectively.