Work

Regularity of laws for distribution dependent SDEs with fractional noises

Year: 2025

Type: article

Abstract: In this paper, we investigate the regularity of laws for a class of distribution dependent SDEs driven by two independent fractional noises BH and B˜H˜ with Hurst parameters H∈(0,1) and H˜∈(1∕2,1). We establish the log-Harnack inequalities and Bismut formulas for the Lions derivative to this type of equations with distribution dependent noise, in both non-degenerate and degenerate cases. Our proofs consist of utilizing coupling arguments which are indeed backward couplings introduced by F.-Y. Wang [36], together with a careful analysis of fractional derivative operator.

Source: Electronic Journal of Probability

DOI: 10.1214/25-ejp1324

Authors: Xiliang Fan, Xing Huang, Zewei Ling

Institutions: Anhui Normal University, Tianjin University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W4409305363

FWCI:

Cites: 34

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Related to: 10