Integration by parts formula and applications for SDE driven by fractional Brownian motion

Abstract

By constructing a new family of successful couplings, the Driver-type integration by parts formula is established for the operator associated with stochastic differential equation driven by fractional Brownian motion. As applications, shift Harnack type inequalities are presented and then the absolute continuity of the solution is proved.

References in corpus (7)

• Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
• Integration by Parts Formula and Shift Harnack Inequality for Stochastic Equations
• Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
• Shift Harnack Inequality and Integration by Part Formula for Semilinear SPDE
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• A Study of a Class of Stochastic Volterra Equations Driven by Fractional Brownian Motion

Cited by in corpus (3)

• Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
• Harnack inequalities for $1$-$d$ stochastic Klein-Gordon type equations
• Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions