Moment estimates for solutions of linear stochastic differential equations driven by analytic fractional Brownian motion

Abstract

As a general rule, differential equations driven by a multi-dimensional irregular path $\Gamma$ are solved by constructing a rough path over $\Gamma$. The domain of definition - and also estimates - of the solutions depend on upper bounds for the rough path; these general, deterministic estimates are too crude to apply e.g. to the solutions of stochastic differential equations with linear coefficients driven by a Gaussian process with Holder regularity $\alpha<1/2$. We prove here (by showing convergence of Chen's series) that linear stochastic differential equations driven by analytic fractional Brownian motion [6,7] with arbitrary Hurst index $\alpha\in(0,1)$ may be solved on the closed upper half-plane, and that the solutions have finite variance.