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Pathwise uniqueness and continuous dependence for SDEs with non-regular drift
5 references·16 citing·28 second hop
Pathwise uniqueness and continuous dependence for SDEs with non-regular drift (2011)Pathwise uniqueness and continuous depend…Strong solutions of SDES with singular drift and Sobolev diffusion coefficients (2005)Strong solutions of SDES with…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…Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation (2023)Well‐posedness of stochastic …SDEs with critical time dependent drifts: Weak solutions (2022)SDEs with critical time depen…Supercritical SDEs driven by multiplicative stable-like Lévy processes (2021)Supercritical SDEs driven by …On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift (2020)On the regularisation of the …Ergodicity of stochastic differential equations with jumps and singular coefficients (2020)Ergodicity of stochastic diff…Strong existence and uniqueness for degenerate SDE with Hölder drift (2017)Strong existence and uniquene…On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes (2017)On the rate of convergence of…Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients (2016)Sobolev differentiable flows …Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient (2016)Degenerate SDE with Hölder--D…Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation (2015)Sobolev differentiable stocha…Strong Uniqueness for Stochastic Evolution Equations with Unbounded Measurable Drift Term (2014)Strong Uniqueness for Stochas…Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift (2013)Strong uniqueness for stochas…Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift (2013)Strong uniqueness for stochas…Stochastic differential equations with Sobolev drifts and driven by $\alpha$-stable processes (2013)Stochastic differential equat…Hölder Flow and Differentiability for SDEs with Nonregular Drift (2013)Hölder Flow and Differentiabi…Pathwise uniqueness for singular SDEs driven by stable processes (2010)Pathwise uniqueness for singu…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Continuous Martingales and Brownian Motion (1999)PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)Stochastic Integration and Differential Equations (2005)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)Davie's type uniqueness for a class of SDEs with jumps (2018)Stochastic Differential Equations and Diffusion Processes (1983)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)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)A Concise Course on Stochastic Partial Differential Equations (2007)Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps (2022)Brownian Motion and Stochastic Calculus (2007)Stochastic Hamiltonian flows with singular coefficients (2018)Lq(Lp) -theory of stochastic differential equations (2020)On the Strong Solutions of Stochastic Differential Equations (1980)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Mckean-Vlasov sdes with drifts discontinuous under wasserstein distance (2020)Distribution dependent reflecting stochastic differential equations (2023)Brownian Motion and Stochastic Calculus (1998)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

  • 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

Cited by

  • 2020Ergodicity of stochastic differential equations with jumps and singular coefficients89 cited
  • 2013Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift89 cited
  • 2013Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift84 cited
  • 2015Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation76 cited
  • 2013Hölder Flow and Differentiability for SDEs with Nonregular Drift72 cited
  • 2016Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient59 cited
  • 2013Stochastic differential equations with Sobolev drifts and driven by $\alpha$-stable processes57 cited
  • 2010Pathwise uniqueness for singular SDEs driven by stable processes44 cited

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2020
On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
41 cited
  • 2016Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients39 cited
  • 2017On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes36 cited
  • 2017Strong existence and uniqueness for degenerate SDE with Hölder drift36 cited
  • 2014Strong Uniqueness for Stochastic Evolution Equations with Unbounded Measurable Drift Term35 cited
  • 2021Supercritical SDEs driven by multiplicative stable-like Lévy processes32 cited
  • 2022SDEs with critical time dependent drifts: Weak solutions28 cited
  • 2023Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation27 cited