Construction of strong solutions of SDE's via Malliavin calculus
@article{MeyerBrandis2010ConstructionOS, title={Construction of strong solutions of SDE's via Malliavin calculus}, author={Thilo Meyer-Brandis and Frank Proske}, journal={Journal of Functional Analysis}, year={2010}, volume={258}, pages={3922-3953} }
61 Citations
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s
- Mathematics
- 2013
In this article we develop a new approach to construct solutions of stochastic equations with merely measurable drift coefficients. We aim at demonstrating the principles of our technique by…
Malliavin differentiability and strong solutions for a class of SDE in Hilbert spaces
- Mathematics
- 2013
We consider a class of Hilbert-space valued SDE’s where the drift coefficients are nonLipschitzian in the sense of Holder-continuity. Using a novel technique based on Malliavin calculus we show in…
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
- Mathematics
- 2014
Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift
- MathematicsJournal of Dynamics and Differential Equations
- 2019
In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst…
Regularity of strong solutions of one-dimensional SDE’s with discontinuous and unbounded drift
- Mathematics
- 2016
In this paper we develop a method for constructing strong solutions of one-dimensional Stochastic Differential Equations where the drift may be discontinuous and unbounded. The driving noise is the…
One-dimensional SDE's with Discontinuous, Unbounded Drift and Continuously Differentiable Solutions to the Stochastic Transport Equation
- Mathematics
- 2012
In this paper we develop a method for constructing strong solutions of one-dimensional SDE’s where the drift may be discontinuous and unbounded. The driving noise is the Brownian Motion. In addition…
ON THE MALLIAVIN DIFFERENTIABILITY AND FLOW PROPERTY OF SOLUTIONS TO LÉVY NOISE DRIVEN SDE ’ S WITH IRREGULAR COEFFICIENTS
- Mathematics
- 2019
In this paper, we investigate the strong solutions to SDE’s driven by Lévy processes with Hölder drifts. We show that the singular SDE has a unique strong solution for each starting point and the…
Strong Uniqueness of Singular Stochastic Delay Equations
- Mathematics
- 2017
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener…
Stochastic flows of SDEs driven by L\'evy processes with irregular drifts
- Mathematics
- 2018
In this paper, we investigate the strong solutions to SDE driven by a stable-like L\'evy process with Sobolev drift. We show that the singular SDE has a unique strong solution for every starting…
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada–Watanabe principle
- MathematicsAnnales de l'Institut Henri Poincaré, Probabilités et Statistiques
- 2018
In this paper we aim at employing a compactness criterion of Da Prato, Malliavin, Nualart for square integrable Brownian functionals to construct unique strong solutions of SDE's under an…
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