Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates

arXiv2305.10365MaRDI QIDQ6437003FDOQ6437003

Authors: Jorge A. Leon, Yanghui Liu, S. Tindel 

Publication date: 17 May 2023

Abstract: The Malliavin differentiability of a SDE plays a crucial role in the study of density smoothness and ergodicity among others. For Gaussian driven SDEs the differentiability property is now well established. In this paper, we consider the Malliavin differentiability for the Euler scheme of such SDEs. We will focus on SDEs driven by fractional Brownian motions (fBm), which is a very natural class of Gaussian processes. We derive a uniform (in the step size $n$) path-wise upper-bound estimate for the Euler scheme for stochastic differential equations driven by fBm with Hurst parameter $H>1/3$ and its Malliavin derivatives.

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