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math.PR2025
Tanaka formula for SDEs driven by fractional Brownian motion
Tommi Sottinen, Ercan Sönmez, Lauri Viitasaari
We derive a Tanaka-type formula for the solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (fBm) with Hurst parameter . Whil…
math.PR2025
Gaussian-type density estimates for mixed SDEs driven by correlated fractional Brownian motions
Maximilian Buthenhoff, Ercan Sönmez
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of…
math.PR2025
Strong solutions for singular SDEs driven by long-range dependent fractional Brownian motion and other Volterra processes
Maximilian Buthenhoff, Ercan Sönmez
We investigate the well-posedness of stochastic differential equations driven by fractional Brownian motion, focusing on the long-range dependent case . Whi…