Gradient Bounds for Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motions

Abstract

We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts formulas on the path space of a fractional Brownian motion.Comment: The paper is dedicated to Pr. David Nualart 60th's birthda