Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions
arXiv:1102.4601
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.
The paper is dedicated to Pr. David Nualart 60th's birthday