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Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion

Abstract : Sensitivity analysis w.r.t. the long-range/memory noise parameter for probability distributions of functionals of solutions to stochastic differential equations is an important stochastic modeling issue in many applications. In this paper we consider solutions $\{X^H_t\}_{t\in \R_+}$ to stochastic differential equations driven by frac{t}ional Brownian motions. We develop two innovative sensitivity analyses when the Hurst parameter~$H$ of the noise tends to the critical Brownian parameter $H=\tfrac{1}{2}$ from above or from below. First, we examine expected smooth functions of $X^H$ at a fixed time horizon~$T$. Second, we examine Laplace transforms of functionals which are irregular with regard to Malliavin calculus, namely, first passage times of $X^H$ at a given threshold. In both cases we exhibit the Lipschitz continuity w.r.t.~$H$ around the value $\tfrac{1}{2}$. Therefore, our results show that the Markov Brownian model is a good proxy model as long as the Hurst parameter remains close to~$\tfrac{1}{2}$.
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https://hal.inria.fr/hal-01323288
Contributor : Alexandre Richard Connect in order to contact the contributor
Submitted on : Monday, May 30, 2016 - 4:57:12 PM
Last modification on : Saturday, February 5, 2022 - 3:34:48 AM

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  • HAL Id : hal-01323288, version 1
  • ARXIV : 1605.03475

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Alexandre Richard, Denis Talay. Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion. 2021. ⟨hal-01323288⟩

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