A remark on the mean square distance between the solutions of fractional SDEs and Brownian SDEs

DOI10.1080/17442508.2011.625175MaRDI QIDQ4648573zbMATH OpenOpenAlexFDO

Authors Bruno Saussereau

Publication date 9 November 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2011.625175

zbMATH Keywords

Malliavin calculusfractional Brownian motionfractional calculusfractional stochastic differential equationsexistence of a solution

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3398554 (Why is no real title available?)
• A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs
• A version of Hörmander's theorem for the fractional Brownian motion
• An inequality of the Hölder type, connected with Stieltjes integration
• Integration with respect to fractal functions and stochastic calculus. I
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
• Relatively compact families of functionals on abstract Wiener space and applications
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Stochastic integration with respect to Volterra processes
• The Malliavin Calculus and Related Topics

Cited in

(2)

• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• A stability result for stochastic differential equations driven by fractional Brownian motions

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