Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions
arXiv:1308.5309
Abstract
By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller property are presented.
References in corpus (4)
- Formulae for the derivatives of heat semigroups
- Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
- Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
- Integration by parts formula and applications for SDE driven by fractional Brownian motion