Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions

11 Feb 2016  ·  Besalú M., Kohatsu-Higa A., Tindel S. ·

In this paper we obtain Gaussian-type lower bounds for the density of solutions to stochastic differential equations (SDEs) driven by a fractional Brownian motion with Hurst parameter $H$. In the one-dimensional case with additive noise, our study encompasses all parameters $H\in(0,1)$, while the multidimensional case is restricted to the case $H>1/2$... We rely on a mix of pathwise methods for stochastic differential equations and stochastic analysis tools. read more

PDF Abstract
No code implementations yet. Submit your code now

Categories


Probability