Optimal Tail Estimates for Differential Equations Driven by Fractional Brownian Motion

Source abstract

The goal of the present paper is to investigate the exact decay rate of the tail probability $\mathbb{P}(|X_1-x_0|>R)$ for large $R$, where $X_t$ is the solution to a multidimensional stochastic differential equation driven by a fractional Brownian motion with initial condition $x_0$. In the first place, under the assumption of uniform ellipticity, we establish a general $(2H+1)$-Weibull lower tail estimate in Young's regime of $H\in(1/2,1)$ and a general Gaussian lower tail estimate in the rough regime of $H\in(1/4,1/2)$. These two estimates are seen to be sharp in their respective regimes. In the second place, we prove a striking fact by constructing explicit examples that a uniformly elliptic system with $C_b^\infty$-coefficients could \textit{fail} to have Gaussian lower tail in Young's regime. As a consequence, in our modest opinion, the multidimensional Gaussian lower estimate of \cite{BKT16} might not hold in its current form of generality without further assumptions on the vector fields. In the third place, we provide a simple nondegeneracy condition on the vector fields, under which a Gaussian lower tail can be established in Young's regime. In addition, given the existence of the aforementioned counterexamples, we prove another striking fact that any $2\times 2$ periodic, uniformly elliptic system always has Gaussian lower tail in Young's regime. Lastly, in the rough regime we establish a general $(2H+1)$-Weibull lower tail for a rich class of systems that satisfy a noncommutativity condition on the vector fields. This result provides a partially affirmative answer to a conjecture raised in \cite{BG24} on the genericness of the well-known Cass-Litterer-Lyons estimate for noncommutative systems.