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

Alexandre Richard 1 Denis Talay 2
2 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
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 $\frac{1}{2}$.
Type de document :
Chapitre d'ouvrage
Vladimir Panov. Modern Problems of Stochastic Analysis and Statistics, Springer, pp.219-236, A Paraître, 978-3-319-65313-6
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Soumis le : vendredi 20 octobre 2017 - 14:56:11
Dernière modification le : jeudi 11 janvier 2018 - 16:35:49

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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, A Paraître, 978-3-319-65313-6. 〈hal-01620377〉

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