INVERSE MOMENTS FOR GENERALIZATION OF FRACTIONAL BESSEL TYPE PROCESS

Abstract

This paper considers a generalization of fractional Bessel type process. It is also a type of singular stochastic differential equations driven by fractional Brownian motion which has been studied by some authors. The purpose of this paper is to study inverse moments problem for this type of equation. We applied the techniques of Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion. We obtain that under some assumptions of coefficients, the inverse moments of solution are bounded. This result is useful to estimate the rate of convergence of the numerical approximation in the Lp- norm.