Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

We prove the Malliavin regularity of the solution of a stochastic differential equation driven by a fractional Brownian motion of Hurst parameter H>0.5. The result is based on the Fréchet differentiability with respect to the input function for deterministic differential equations driven by Hölder continuous functions. It is also shown that the law of the solution has a density with respect to the Lebesgue measure, under a suitable nondegeneracy condition.

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Year of publication:	2009
Authors:	Nualart, David ; Saussereau, Bruno
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 2, p. 391-409
Publisher:	Elsevier
Keywords:	Stochastic differential equation Malliavin calculus Fractional Brownian motion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874353