On probability laws of solutions to differential systems driven by a fractional Brownian motion
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Baudoin, Fabriceca
- dc.contributor.author Nualart, Eulàliaca
- dc.contributor.author Ouyang, Chengca
- dc.contributor.author Tindel, Samyca
- dc.date.accessioned 2018-04-18T08:31:22Z
- dc.date.available 2018-04-18T08:31:22Z
- dc.date.issued 2016
- dc.description.abstract This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density of Xt. Then we obtain some exponential bounds for this density when the diffusion coefficient satisfies an elliptic type condition. Finally, still in the elliptic case, we derive some bounds on the hitting probabilities of sets by fractional differential systems in terms of Newtonian capacities.en
- dc.description.sponsorship Supported by the European Union program FP7-PEOPLE-2012-CIG under Grant agreement 333938.
- dc.format.mimetype application/pdf
- dc.identifier.citation Baudoin F, Nualart E, Ouyang C, Tindel S. On probability laws of solutions to differential systems driven by a fractional Brownian motion. Ann Probab. 2016;44(4):2554-90. DOI: 10.1214/15-AOP1028
- dc.identifier.doi http://dx.doi.org/10.1214/15-AOP1028
- dc.identifier.issn 0091-1798
- dc.identifier.uri http://hdl.handle.net/10230/34392
- dc.language.iso eng
- dc.publisher Institute of Mathematical Statistics (IMS)ca
- dc.relation.ispartof The Annals of Probability. 2016;44(4):2554-90.
- dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/333938
- dc.rights © Institute of Mathematical Statistics, 2016
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword Fractional Brownian motionen
- dc.subject.keyword Rough pathsen
- dc.subject.keyword Malliavin calculusen
- dc.subject.keyword Hitting probabilityen
- dc.title On probability laws of solutions to differential systems driven by a fractional Brownian motionca
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion