On probability laws of solutions to differential systems driven by a fractional Brownian motion
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Publication:317474
DOI10.1214/15-AOP1028zbMATH Open1352.60081arXiv1401.3583MaRDI QIDQ317474FDOQ317474
Cheng Ouyang, S. Tindel, Fabrice Baudoin, Eulalia Nualart
Publication date: 30 September 2016
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: This article investigates several properties related to densities of solutions X to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density of X_t. Then we obtain some exponential bounds for this density when the diffusion coefficient satisfies an elliptic type condition. Finally, still in the elliptic case, we derive some bounds on the hitting probabilities of sets by fractional differential systems in terms of Newtonian capacities.
Full work available at URL: https://arxiv.org/abs/1401.3583
Malliavin calculusfractional Brownian motionstochastic differential equationsrough pathshitting probability
Gaussian processes (60G15) 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)
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Cited In (26)
- Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
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