Density estimates and central limit theorem for the functional of fractional SDEs |
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Authors: | Nguyen Tien Dung |
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Institution: | Department of Mathematics, FPT University, Hanoi, Vietnam |
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Abstract: | In this paper, we consider a general class of functionals of stochastic differential equations driven by fractional Brownian motion. For this class, we obtain Gaussian estimates for the density and a quantitative central limit theorem. The main tools of the paper are the techniques of Malliavin calculus. |
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Keywords: | Fractional Brownian motion Malliavin calculus density estimates central limit theorem |
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