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Book Sections Year : 2017

Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: Results and perspectives

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Alexandre Richard
Denis Talay

Abstract

We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter $H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability distributions of smooth functionals of the trajectories of the solutions $\{X^H_t\}_{t\in \mathbb{R}_+}$ and of the Laplace transform of the first passage time of $X_H$ at a given threshold. We also present an improvement of already known Gaussian estimates on the density of $X^H_t$ to estimates with constants which are uniform w.r.t. $t$ in the whole half-line $\mathbb{R}_+ \setminus \{0\}$ and w.r.t. $H$ when $H$ tends to $\frac{1}{2}$.

Dates and versions

hal-01620377 , version 1 (20-10-2017)

Identifiers

• HAL Id : hal-01620377 , version 1
• DOI :

Cite

Alexandre Richard, Denis Talay. Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: Results and perspectives. Vladimir Panov. Modern Problems of Stochastic Analysis and Statistics, Springer, pp.219-236, 2017, 978-3-319-65313-6. ⟨10.1007/978-3-319-65313-6_9⟩. ⟨hal-01620377⟩

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