Regularity of laws for distribution dependent SDEs with fractional noises

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.

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Publication Details

Journal
Electronic Journal of Probability
Published
2025-01-01
DOI
https://doi.org/10.1214/25-ejp1324
Primary Topic
Stochastic processes and financial applications
Type
article
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article

Regularity of laws for distribution dependent SDEs with fractional noises

Zewei Ling, Xing Huang, Xiliang Fan
Electronic Journal of Probability
Stochastic processes and financial applications
article

Regularity of laws for distribution dependent SDEs with fractional noises

Zewei Ling, Xing Huang, Xiliang Fan
article en

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.

Electronic Journal of ProbabilityVol. 30(none)
Tianjin University (CN), Anhui Normal University (CN)
Reduced inequalities
Openalex Percentile: Top 91%
Stochastic processes and financial applications
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