Malliavin calculus for fractional delay equations
classification
🧮 math.PR
keywords
delaysolutioncalculusdifferentialdrivenequationsfractionalmalliavin
read the original abstract
In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a H\"older continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay differential equation driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2 has a smooth density. To this purpose, we use Malliavin calculus based on the Frechet differentiability in the directions of the reproducing kernel Hilbert space associated with fBm.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.