Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151366 | Statistics & Probability Letters | 2015 | 8 Pages |
Abstract
In this paper, we consider the Ornstein–Uhlenbeck process driven by fractional Brownian motion. By showing its pull back formula, we establish the integration by parts formula for such process using the Bismut method. Conversely, we prove that such process can be characterized through its integration by parts formula.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiaoxia Sun, Feng Guo,