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Density estimates and central limit theorem for the functional of fractional SDEs
Authors:Nguyen Tien Dung
Institution:Department of Mathematics, FPT University, Hanoi, Vietnam
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.
Keywords:Fractional Brownian motion  Malliavin calculus  density estimates  central limit theorem
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