Malliavin calculus for fractional delay equations
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Publication:715754
DOI10.1007/S10959-011-0349-4zbMATH Open1259.60069arXiv0912.2180OpenAlexW2129469689MaRDI QIDQ715754FDOQ715754
Authors: León A. Jorge, S. Tindel 
Publication date: 1 November 2012
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a H"older continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay differential equation driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2 has a smooth density. To this purpose, we use Malliavin calculus based on the Frechet differentiability in the directions of the reproducing kernel Hilbert space associated with fBm.
Full work available at URL: https://arxiv.org/abs/0912.2180
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Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18) Stochastic integral equations (60H20)
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Cited In (26)
- Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3
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- Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
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