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math.PR2011★ 5 cited
Small-time expansions for local jump-diffusion models with infinite jump activity
José E. Figueroa-López, Yankeng Luo, Cheng Ouyang
We consider a Markov process , which is the solution of a stochastic differential equation driven by a Lévy process and an independent Wiener process . Under some regular…
math.PR2011
Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions
Fabrice Baudoin, Cheng Ouyang
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional ine…