A Study of a Class of Stochastic Volterra Equations Driven by Fractional Brownian Motion

Abstract

This paper is devoted to study a class of stochastic Volterra equations associated with fractional Brownian motion. We first prove the Driver type integration by parts formula and the shift Harnack type inequalities. As a direct application, we provide an alternative method to describe the regularities of the law of the solution. Secondly, by using the Malliavin calculus, the Bismut type derivative formula is established, which is then applied to the study of the gradient estimate and the strong Feller property. Finally, we establish the Talagrand type transportation cost inequalities for the law of the solution on the path space with respect to both the uniform metric and the $L^2$-metric.

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Cited by in corpus (1)

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