Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise

DOI10.1007/s10959-021-01084-7zbMath1502.60088arXiv1705.01616OpenAlexW3133780309WikidataQ115382018 ScholiaQ115382018MaRDI QIDQ2135187

Salvador Ortiz-Latorre, Frank Norbert Proske, Andrey Yu. Pilipenko, David R. Baños

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.01616

zbMATH Keywords

Malliavin calculusstochastic differential equationsgeneralized driftreflected stochastic differential equationscompactness criterion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Regularization by noise (60H50)

Related Items (5)

Strong existence and uniqueness for stable stochastic differential equations with distributional drift ⋮ Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths ⋮ On a skew stable Lévy process ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Regularisation by fractional noise for one-dimensional differential equations with distributional drift

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