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Distribution dependent SDEs driven by fractional Brownian motions

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  • Fan, Xiliang
  • Huang, Xing
  • Suo, Yongqiang
  • Yuan, Chenggui

Abstract

In this paper we study a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter H∈(0,1/2)∪(1/2,1). We prove the well-posedness of this type equations, and then establish a general result on the Bismut formula for the Lions derivative by using Malliavin calculus. As applications, we provide the Bismut formulas of this kind for both non-degenerate and degenerate cases, and obtain the estimates of the Lions derivative and the total variation distance between the laws of two solutions.

Suggested Citation

  • Fan, Xiliang & Huang, Xing & Suo, Yongqiang & Yuan, Chenggui, 2022. "Distribution dependent SDEs driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 23-67.
    • Handle: RePEc:eee:spapps:v:151:y:2022:i:c:p:23-67
    DOI: 10.1016/j.spa.2022.05.007
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    References listed on IDEAS

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    1. Mémin, Jean & Mishura, Yulia & Valkeila, Esko, 2001. "Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 197-206, January.
    2. Wang, Feng-Yu, 2018. "Distribution dependent SDEs for Landau type equations," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 595-621.
    3. Yulin Song, 2020. "Gradient Estimates and Exponential Ergodicity for Mean-Field SDEs with Jumps," Journal of Theoretical Probability, Springer, vol. 33(1), pages 201-238, March.
    4. Xiliang Fan, 2019. "Derivative Formulas and Applications for Degenerate Stochastic Differential Equations with Fractional Noises," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1360-1381, September.
    5. Li, Juan, 2018. "Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 3118-3180.
    6. Suo, Yongqiang & Yuan, Chenggui & Zhang, Shao-Qin, 2022. "Transportation cost inequalities for SDEs with irregular drifts," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 288-311.
    7. Huang, Xing & Wang, Feng-Yu, 2019. "Distribution dependent SDEs with singular coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4747-4770.
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    Cited by:

    1. Fan, Xiliang & Yu, Ting & Yuan, Chenggui, 2023. "Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 383-415.

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