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Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions (1310.5798v2)

Published 22 Oct 2013 in math.PR

Abstract: In this paper we obtain Gaussian-type lower bounds for the density of solutions to stochastic differential equations (SDEs) driven by a fractional Brownian motion with Hurst parameter $H$. In the one-dimensional case with additive noise, our study encompasses all parameters $H\in(0,1)$, while the multidimensional case is restricted to the case $H>1/2$. We rely on a mix of pathwise methods for stochastic differential equations and stochastic analysis tools.

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