On Stochastic Differential Equations with Locally Unbounded Drift
By István Gyöngy, T. Martínez. 2001
124 citations recorded by the source corpus.
Subfields: Control and Systems Engineering, Finance
View Paper: https://www.semanticscholar.org/paper/75b39ce2775990d47ec36e6ef332a4ae8199a61a
How researchers see this paper
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In Control and Systems Engineering
- Xicheng Zhang
- Franco Flandoli
- Massimiliano Gubinelli
- Enrico Priola
- Tusheng Zhang
- Torstein Nilssen
- T. Meyer‐Brandis
- Frank Norbert Proske
In Finance
- Xicheng Zhang
- Franco Flandoli
- Massimiliano Gubinelli
- Enrico Priola
- Frank Norbert Proske
- Longjie Xie
- Torstein Nilssen
- Tusheng Zhang
Citations in the corpus
- Stochastic flows of SDEs with irregular coefficients and stochastic transport equations (2009, background): “On the other hand, whenσ is non-degenerate andb is not continuous and even singular, SDE (1.1) may have a unique strong solution for each starting point x ∈ Rd (cf. [14, 17, 26], etc.).”
- Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2010, background): “1) under stronger integr ability assumptions on b andσ (see also [6] for Lipschitzσ and unbounded b).”
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013, methodology): “found in Krylov, Röckner [19], Gyöngy, Krylov [14] or Gyöngy, Mart́ınez [15].”
- Stochastic differential equations with Sobolev diffusion and singular drift and applications (2016, background): “Subsequently, the results of [14] were extended to the case of multiplicative noises in [30] (see also [9, 28] for related results).”
- Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness (2014, methodology): “Under the condition dp + 2 q = 1, we do not know how to solve the sDE directly (see however the recent preprints [65, 81] mentioned above); even in a weak sense, by Girsanov theorem, the strict inequality seems to be needed ([55, 70, 52]).”
- Flow of diffeomorphisms for SDEs with unbounded H (2009, background): “More recent papers dealing with such approach are [12,16,30,32] (see also the references therein).”