Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
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带分数噪声的简并随机微分方程的导数公式及应用
DOI：
10.1007/s10959-018-0822-4
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通讯作者：
Xiliang Fan
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作者：
Xiliang Fan
对于由分数布朗运动驱动的带Hurst参数的退化随机微分方程，分别利用Malliavin微积分和耦合方法建立了其导数公式.此外，我们发现这两种方法之间的一些关系。作为应用，给出了（log）Harnack不等式及其超有界性.
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find some relation between these two approaches. As applications, the (log) Harnack inequalities and the hyperbounded property are presented.