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Upper bounds for the density of solutions to stochastic differential equations driven by fractional brownian motions

Fabrice BaudoinCheng OuyangSamy Tindel — 2014

Annales de l'I.H.P. Probabilités et statistiques

In this paper we study upper bounds for the density of solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H g t ; 1 / 3 . We show that under some geometric conditions, in the regular case H g t ; 1 / 2 , the density of the solution satisfies the log-Sobolev inequality, the Gaussian concentration inequality and admits an upper Gaussian bound. In the rough case H g t ; 1 / 3 and under the same geometric conditions, we show that the density of the solution is smooth and admits an upper...

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