Hölder Flow and Differentiability for SDEs with Nonregular Drift

By E. Fedrizzi, Franco Flandoli. 2013

98 citations recorded by the source corpus.

Subfields: Computational Mechanics, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3f8cf8e572a0e796f33d65ff27b8601a91429595

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Mechanics

1. Xicheng Zhang
2. Franco Flandoli
3. Longjie Xie
4. E. Fedrizzi
5. Massimiliano Gubinelli
6. Enrico Priola
7. Torstein Nilssen
8. Frank Norbert Proske

In Economics and Econometrics

1. Xicheng Zhang
2. Franco Flandoli
3. E. Fedrizzi
4. Torstein Nilssen
5. Frank Norbert Proske
6. Salah-Eldin A. Mohammed
7. Longjie Xie
8. Massimiliano Gubinelli

In Finance

1. Xicheng Zhang
2. Franco Flandoli
3. Longjie Xie
4. Massimiliano Gubinelli
5. Enrico Priola
6. E. Fedrizzi
7. Torstein Nilssen
8. Frank Norbert Proske

Citations in the corpus

• Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness (2014, background): “Let us mention that regularity under more restrictive assumptions was already proved, see for example [35, 64] or [18] (also for fractional Brownian motion).”
• Regularity of Stochastic Kinetic Equations (2016, background): “5], adapting such results to the irregular coefficients (as in [15]) and degenerate setting considered here.”
• Stochastic differential equations with Sobolev diffusion and singular drift and applications (2016, background): “The Sobolev differentiability of solutions was also obtained in [5, 6].”
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013, unknown): “[11].”
• Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation (2012, methodology): “The approach used in [12] is based on a Zvonkin-type transformation [41] and estimates of solutions of an associated backward parabolic PDE.”
• Noise Prevents Singularities in Linear Transport Equations (2012, methodology): “A differentiability property in terms of finite increments has been given in [13].”
• Wellposedness for stochastic continuity equations with Ladyzhenskaya–Prodi–Serrin condition (2013, background): “More recently, Fedrizzi, Flandoli see [10, 11] proved the α-Hölder continuity of the stochastic flow x→ Xs,t for any α ∈ (0, 1).”
• Ergodicity of stochastic differential equations with jumps and singular coefficients (2017, background): “The interested readers are referred to [17, 18, 31, 34, 45, 52, 54] and references therein.”