On probability laws of solutions to differential systems driven by a fractional Brownian motion

DOI10.1214/15-AOP1028zbMath1352.60081arXiv1401.3583MaRDI QIDQ317474

Cheng Ouyang, Fabrice Baudoin, Samy Tindel, Eulalia Nualart

Publication date: 30 September 2016

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

Full work available at URL: https://arxiv.org/abs/1401.3583

zbMATH Keywords

fractional Brownian motionMalliavin calculusstochastic differential equationsrough pathshitting probability

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (20)

Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case ⋮ Fractal dimensions of rough differential equations driven by fractional Brownian motions ⋮ Mutual intersection for rough differential systems driven by fractional Brownian motions ⋮ Local times of stochastic differential equations driven by fractional Brownian motions ⋮ Density bounds for solutions to differential equations driven by Gaussian rough paths ⋮ Existence and upper bound for the density of solutions of stochastic differential equations driven by generalized grey noise ⋮ Positivity of the density for rough differential equations ⋮ Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case ⋮ Random attractors for rough stochastic partial differential equations ⋮ On the (non)stationary density of fractional-driven stochastic differential equations ⋮ A version of Hörmander's theorem for Markovian rough paths ⋮ Regularity of the law of solutions to the stochastic heat equation with non-Lipschitz reaction term ⋮ On the lack of Gaussian tail for rough line integrals along fractional Brownian paths ⋮ Rough path theory and stochastic calculus ⋮ Density of the signature process of fBm ⋮ Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes ⋮ Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition ⋮ Varadhan estimates for rough differential equations driven by fractional Brownian motions ⋮ ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION ⋮ Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion

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