Bismut formulae and applications for stochastic (functional) differential equations driven by fractional Brownian motions

Published 24 Aug 2013 in math.PR | (1308.5309v2)

Abstract: By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller property are presented.

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Xiliang Fan

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