Malliavin calculus for fractional delay equations
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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)
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.
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Cited in
(27)- Neutral stochastic differential equations driven by a fractional Brownian motion with impulsive effects and varying-time delays
- Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
- Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space
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- Analytical and numerical solutions of a nonlinear alcoholism model via variable-order fractional differential equations
- Semilinear fractional stochastic differential equations driven by a \(\gamma\)-Hölder continuous signal with \(\gamma > 2/3\)
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques
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