Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case

DOI10.1214/21-AOP1542zbMATH Open1505.60063arXiv2008.01229OpenAlexW3046674481WikidataQ115240785 ScholiaQ115240785MaRDI QIDQ2129695FDOQ2129695

Authors: Cheng Ouyang, S. Tindel, X. Geng 

Publication date: 22 April 2022

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a uniform hypoellipticity condition, we establish a sharp local estimate on the associated control distance function and a sharp local lower estimate on the density of the solution. Our methodology relies heavily on the rough paths structure of the equation.

Full work available at URL: https://arxiv.org/abs/2008.01229

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zbMATH Keywords

Malliavin calculusfractional Brownian motionrough paths

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

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Cited In (6)

• Short time kernel asymptotics for rough differential equation driven by fractional Brownian motion
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• On the (non)stationary density of fractional-driven stochastic differential equations
• Positivity of the density for rough differential equations
• Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case

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