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

DOI10.1080/17442508.2011.625175zbMATH Open1271.60071OpenAlexW2091914259MaRDI QIDQ4648573FDOQ4648573

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

Recommendations

• Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• scientific article; zbMATH DE number 2149889
• Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
• The distance between fractional Brownian motion and the subspace of martingales with ``similar kernels
• scientific article; zbMATH DE number 5260706
• On moment estimates and continuity for solutions of SDEs driven by fractional Brownian motions under non-Lipschitz conditions
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions

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)

Cites Work

• The Malliavin Calculus and Related Topics
• A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs
• Integration with respect to fractal functions and stochastic calculus. I
• An inequality of the Hölder type, connected with Stieltjes integration
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Stochastic integration with respect to Volterra processes
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
• A version of Hörmander's theorem for the fractional Brownian motion
• Title not available (Why is that?)
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Relatively compact families of functionals on abstract Wiener space and applications

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

This page was built for publication: A remark on the mean square distance between the solutions of fractional SDEs and Brownian SDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4648573)