Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
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发表时间：
2012-06
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通讯作者：
Xiliang Fan
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作者：
Xiliang Fan
通过构造一族成功的耦合，建立了与分数布朗运动驱动的随机微分方程相关的算子的驱动型分部积分公式。作为应用，给出了移位Harnack型不等式，并证明了解的绝对连续性。
By constructing a new family of successful couplings, the Driver-type integration by parts formula is established for the operator associated with stochastic differential equation driven by fractional Brownian motion. As applications, shift Harnack type inequalities are presented and then the absolute continuity of the solution is proved.