On probability laws of solutions to differential systems driven by a fractional Brownian motion.

This article investigates several properties related to densities of solutions X to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density of X_t. Then we obtain some exponential bounds for this density when the diffusion coefficient satisfies an elliptic type condition. Finally, still in the elliptic case, we derive some bounds on the hitting probabilities of sets by fractional differential systems in terms of Newtonian capacities.

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Source https://hal.science/hal-00931118
Author Baudoin, Fabrice, Nualart, Eulalia, Ouyang, Cheng, Tindel, Samy
Maintainer CCSD
Last Updated May 7, 2026, 10:07 (UTC)
Created May 7, 2026, 10:07 (UTC)
Identifier hal-00931118
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Department of Mathematics [West Lafayette] ; Purdue University [West Lafayette]
creator Baudoin, Fabrice
date 2014-05-07T00:00:00
harvest_object_id 65b7d325-a4eb-4506-8194-95a937733158
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-01-11T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1401.3583
set_spec type:REPORT