Article ID Journal Published Year Pages File Type
1151366 Statistics & Probability Letters 2015 8 Pages PDF
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
, ,