On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion

56 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2009, background): “In [9], the existence of a density for the solution of a one-dimensional equation is shown.”
Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion (2012, background): “Regularity (in the sense of Malliavin calculus) and absolute continuity of the law of the random variables Xt have since been investigated in [2, 19, 23, 26].”
The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion (2007, background): “[11]) that the stochastic derivative of Xt satisfies the linear equation DrXt = ( σ(Xr) + ∫ t”
Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2006, result): “Finally, let us recall the following result proved in [16]:”