Holder Flow and Differentiability for SDEs with Nonregular Drift

被引：50

作者：

Fedrizzi, E. ^{[1
]}

Flandoli, F. ^{[2
]}

机构：

[1] Univ Paris Diderot, Sorbonne Paris Cite, Lab Probabilites & Modeles Aleatoires, Paris, France

[2] Univ Pisa, Dipartimento Matemat Applicata, I-56127 Pisa, Italy

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2013年 / 31卷 / 04期

关键词：

Flow; Singular drift; Stochastic differential equations; Strong solutions; Weak differentiability; Primary; 60H10; Secondary; 60G60; 60J65; 35K10; STOCHASTIC-EQUATIONS; UNIQUENESS; EXISTENCE;

D O I：

10.1080/07362994.2012.628908

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We prove the existence of a stochastic flow of Holder homeomorphisms for solutions of SDEs with singular time dependent drift having only certain integrability properties. We also show that the solution map xX(x) is differentiable in a weak sense.

引用

页码：708 / 736

页数：29

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