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Hölder Flow and Differentiability for SDEs with Nonregular Drift
8 references·5 citing·31 second hop
Hölder Flow and Differentiability for SDEs with Nonregular Drift (2013)Hölder Flow and Differentiability for SDE…Pathwise uniqueness and continuous dependence for SDEs with non-regular drift (2011)Pathwise uniqueness and conti…Strong solutions of SDES with singular drift and Sobolev diffusion coefficients (2005)Strong solutions of SDES with…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Existence of strong solutions for Itô's stochastic equations via approximations (1996)Existence of strong solutions…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Stochastic Hamiltonian flows with singular coefficients (2018)Stochastic Hamiltonian flows …Davie's type uniqueness for a class of SDEs with jumps (2018)Davie's type uniqueness for a…A simple method for the existence of a density for stochastic evolutions with rough coefficients (2018)A simple method for the exist…Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients (2016)Sobolev differentiable flows …A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)A variational approach to the…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Continuous Martingales and Brownian Motion (1999)PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)Ergodicity of stochastic differential equations with jumps and singular coefficients (2020)Stochastic Differential Equations and Diffusion Processes (1983)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Averaging along irregular curves and regularisation of ODEs (2016)Controlled Diffusion Processes (1980)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Ergodic Control of Diffusion Processes (2011)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)On stochastic differential equations (1951)Optimization of the flow of dividends (1995)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Strong solutions of mean-field stochastic differential equations with irregular drift (2018)Lq(Lp) -theory of stochastic differential equations (2020)C∞− regularization of ODEs perturbed by noise (2021)Introduction to the Theory of Random Processes (2002)Lévy Processes and Stochastic Calculus (2009)Strong existence and uniqueness for stable stochastic differential equations with distributional drift (2020)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift (2013)Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift (2013)Risk-Sensitive Control on an Infinite Time Horizon (1995)A variational representation for certain functionals of Brownian motion (1998)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1996Existence of strong solutions for Itô's stochastic equations via approximations400 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
  • 2005Strong solutions of SDES with singular drift and Sobolev diffusion coefficients115 cited
  • 2011Pathwise uniqueness and continuous dependence for SDEs with non-regular drift99 cited

Cited by

  • 2013A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s68 cited
  • 2018Davie's type uniqueness for a class of SDEs with jumps39 cited
  • 2016Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients39 cited
  • 2018Stochastic Hamiltonian flows with singular coefficients38 cited
  • 2018A simple method for the existence of a density for stochastic evolutions with rough coefficients27 cited

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