Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
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Publication:2211289
DOI10.1007/s10884-019-09789-4zbMath1456.60140arXiv1511.02717OpenAlexW2971798505MaRDI QIDQ2211289
Torstein Nilssen, Frank Norbert Proske, David R. Baños
Publication date: 11 November 2020
Published in: Journal of Dynamics and Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.02717
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularity of solutions in optimal control (49N60)
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Regularization of differential equations by two fractional noises ⋮ Noiseless regularisation by noise ⋮ Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise ⋮ Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion ⋮ A stochastic sewing lemma and applications ⋮ Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths ⋮ Distribution dependent SDEs driven by additive fractional Brownian motion ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness ⋮ Approximation of SDEs: a stochastic sewing approach ⋮ C∞− regularization of ODEs perturbed by noise
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