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Derivative Formulas and Applications for Degenerate Stochastic Differential Equations with Fractional Noises

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  • Xiliang Fan

    (Anhui Normal University)

Abstract

For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $$H>1/2$$ H > 1 / 2 , 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.

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  • 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.
    • Handle: RePEc:spr:jotpro:v:32:y:2019:i:3:d:10.1007_s10959-018-0822-4
    DOI: 10.1007/s10959-018-0822-4
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    References listed on IDEAS

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    Cited by:

    1. 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.

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