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Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative formula integration by parts formula Harnack inequality stochastic differential equation fractional Brownian motion
2012/6/21
In the paper, the Bismut derivative formula is established for multidimensional SDEs driven by additive fractional noise ($1/2 and moreover the Harnack inequality is given. Through a Lamperti t...
Derivative Formula and Applications for Degenerate Diffusion Semigroups
Derivative formula Gradient estimate Harnack inequality Stochastic differential equation
2011/8/22
Abstract: By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As appli...