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Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
Stochastics ( IF 0.9 ) Pub Date : 2021-07-28 , DOI: 10.1080/17442508.2021.1959585 Xiliang Fan 1 , Rong Yu 1
中文翻译:
具有分数噪声的乘法 SDE 的 Bismut 类型导数公式和梯度估计
更新日期:2021-07-28
Stochastics ( IF 0.9 ) Pub Date : 2021-07-28 , DOI: 10.1080/17442508.2021.1959585 Xiliang Fan 1 , Rong Yu 1
Affiliation
In this article, we study multiplicative SDE with fractional noise in a suitable sense, which can be regarded as a fractional Gruschin type process. Using the transfer principle and fractional integral and derivative operators, two kinds of Bismut type derivative formulae are established in this non-Markovian context under incompatible conditions. As an application, an explicit gradient estimate is derived.
中文翻译:
具有分数噪声的乘法 SDE 的 Bismut 类型导数公式和梯度估计
在本文中,我们在适当的意义上研究了带有分数噪声的乘法 SDE,它可以被视为分数 Gruschin 类型的过程。利用传递原理和分数积分和导数算子,在这种非马尔可夫上下文不相容条件下,建立了两种Bismut型导数公式。作为一个应用,一个明确的梯度估计被推导出来。