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Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

Published 22 Feb 2011 in math.PR | (1102.4601v1)

Abstract: We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts formulas on the path space of a fractional Brownian motion.

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Authors (2)

  1. Fabrice Baudoin 
  2. Cheng Ouyang 

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