Sensitivity analysis w.r.t. the long-range/memory noise parameter for probability distributions of functionals of solutions to stochastic differential equations is an important stochastic modeling issue in many applications. In this paper we consider solutions $\{ X^H_t\}_{ t\in \mathbb{ R}_+}$ to stochastic differential equations driven by fractional Brownian motions. We develop two innovative sensitivity analyses when the Hurst parameter $H$ of the noise tends to the critical Brownian parameter $H=\tfrac{ 1}{ 2}$ from above or from below. First, we examine expected smooth functions of $X^H$ at a fixed time horizon $T$. Second, we examine Laplace transforms of functionals which are irregular with regard to Malliavin calculus, namely, first passage times of $X^H$ at a given threshold. In both cases we exhibit the Lipschitz continuity w.r.t. $H$ around the value $\tfrac{ 1}{ 2}$. Therefore, our results show that the Markov Brownian model is a good proxy model as long as the Hurst parameter remains close to $\tfrac{ 1}{ 2}$.
Categories: math.PR