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Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

  • Fabrice BaudoinEmail author
  • Cheng Ouyang
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 34)

Abstract

We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts formulas on the path space of a fractional Brownian motion.

Keywords

Stochastic Differential Equation Fractional Brownian Motion Path Space Hurst Parameter Functional Inequality 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgements

First author supported in part by NSF Grant DMS 0907326.

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Department of MathematicsPurdue UniversityWest LafayetteUSA

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