Density estimates and central limit theorem for the functional of fractional SDEs

DOI10.1080/07362994.2018.1537851MaRDI QIDQ5742386zbMATH OpenOpenAlexWikidataFDO

Authors Nguyen Tien Dung

Publication date 14 May 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2018.1537851

zbMATH Keywords

central limit theoremdensity estimatesfractional Brownian motionMalliavin calculus

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Analysis of the density of the solution to a semilinear SPDE with fractional noise
• Density estimates for solutions to one dimensional backward SDE's
• Density formula and concentration inequalities with Malliavin calculus
• Differential equations driven by fractional Brownian motion
• Finite-time blowup and existence of global positive solutions of a semi-linear stochastic partial differential equation with fractional noise
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• 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
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Small time central limit theorems for semimartingales with applications
• Statistical inference for fractional diffusion processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Tail estimates for exponential functionals and applications to SDEs
• The Malliavin Calculus and Related Topics
• The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions

Cited in

(9)

• Estimates for the density of functionals of SDEs with irregular drift
• Estimates of the difference between two probability densities of Wiener functionals and its application
• Density estimates for the exponential functionals of fractional Brownian motion
• Density estimates for solutions of stochastic functional differential equations
• Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• Central limit theorem for functionals of two independent fractional Brownian motions
• Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts

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