Title of article
Operators associated with a stochastic differential equation driven by fractional Brownian motions
Author/Authors
Baudoin، نويسنده , , Fabrice and Coutin، نويسنده , , Laure، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
25
From page
550
To page
574
Abstract
In this paper, by using a Taylor type development, we show how it is possible to associate differential operators with stochastic differential equations driven by fractional Brownian motions. As an application, we deduce that invariant measures for such SDE’s must satisfy an infinite dimensional system of partial differential equations.
Keywords
Fractional Brownian motion , stochastic differential equation , Rough paths theory
Journal title
Stochastic Processes and their Applications
Serial Year
2007
Journal title
Stochastic Processes and their Applications
Record number
1577877
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