Originalversjon
Infinite Dimensional Analysis Quantum Probability and Related Topics. 2020, 23 (01):2050005, DOI: https://doi.org/10.1142/S0219025720500058
Sammendrag
In this paper we prove, for small Hurst parameters, the higher-order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on Fourier analysis-based variational calculus techniques and on intrinsic properties of the fractional Brownian motion.