Hölder continuity property of the densities of SDEs with singular drift coefficients (Q743505): Difference between revisions
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Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients | |||||||||||||||
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scientific article | scientific article; zbMATH DE number 6259118 | ||||||||||||||
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Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients (English) | |||||||||||||||
Property / title: Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients (English) / rank | |||||||||||||||
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Property / zbMATH Open document ID: 1294.60081 / rank | |||||||||||||||
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Property / DOI: 10.1007/s10959-012-0430-7 / rank | |||||||||||||||
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Property / author: Arturo Kohatsu-Higa / rank | |||||||||||||||
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Property / published in: Journal of Theoretical Probability / rank | |||||||||||||||
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18 February 2014
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Property / publication date: 18 February 2014 / rank | |||||||||||||||
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Property / zbMATH DE Number: 6259118 / rank | |||||||||||||||
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Property / arXiv ID: 1206.1117 / rank | |||||||||||||||
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The authors consider a homogeneous Itō process \[ X_t= x+ \int^t_0 \sigma(X_s)\,dB_s+ \int^t_0 b(X_s)\,ds,\quad 0\leq t\leq T, \] assuming that: -- \(B\) is a real Brownian motion; -- \(\sigma\) and \(b\) are Borelian bounded on \(I:= ]y-r,y+r[\); -- \(\sigma\in C^\infty_b(I)\) and \(\sigma\geq \sigma_0> 0\) on \(I\); and -- \(b/\sigma\) is an \(\alpha\)-Hölderian on \(I\), for some \(0<\alpha<1\). Then the authors prove that for any \(0<\gamma<\alpha\) and \(0\leq t\leq T\), \(X_t\) admits a \(\gamma\)-Hölderian density on \(]y-{r\over 6},y+{r\over 6}[\). They proceed by a Girsanov transform supporting the drift term, localization to \(I\), smoothing of the Girsanov exponential martingale, and Malliavin calculus. | |||||||||||||||
Property / review text: The authors consider a homogeneous Itō process \[ X_t= x+ \int^t_0 \sigma(X_s)\,dB_s+ \int^t_0 b(X_s)\,ds,\quad 0\leq t\leq T, \] assuming that: -- \(B\) is a real Brownian motion; -- \(\sigma\) and \(b\) are Borelian bounded on \(I:= ]y-r,y+r[\); -- \(\sigma\in C^\infty_b(I)\) and \(\sigma\geq \sigma_0> 0\) on \(I\); and -- \(b/\sigma\) is an \(\alpha\)-Hölderian on \(I\), for some \(0<\alpha<1\). Then the authors prove that for any \(0<\gamma<\alpha\) and \(0\leq t\leq T\), \(X_t\) admits a \(\gamma\)-Hölderian density on \(]y-{r\over 6},y+{r\over 6}[\). They proceed by a Girsanov transform supporting the drift term, localization to \(I\), smoothing of the Girsanov exponential martingale, and Malliavin calculus. / rank | |||||||||||||||
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Property / reviewed by: Jacques Franchi / rank | |||||||||||||||
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Property / OpenAlex ID: W1987222341 / rank | |||||||||||||||
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Latest revision as of 15:31, 29 April 2024
scientific article; zbMATH DE number 6259118
- Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients
Language | Label | Description | Also known as |
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English | Hölder continuity property of the densities of SDEs with singular drift coefficients |
scientific article; zbMATH DE number 6259118 |
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Statements
Hölder continuity property of the densities of SDEs with singular drift coefficients (English)
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Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients (English)
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24 September 2014
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18 February 2014
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stochastic differential equations
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Malliavin calculus
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Hölder continuity
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non-smooth drift
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density function
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Fourier analysis
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The authors consider a homogeneous Itō process \[ X_t= x+ \int^t_0 \sigma(X_s)\,dB_s+ \int^t_0 b(X_s)\,ds,\quad 0\leq t\leq T, \] assuming that: -- \(B\) is a real Brownian motion; -- \(\sigma\) and \(b\) are Borelian bounded on \(I:= ]y-r,y+r[\); -- \(\sigma\in C^\infty_b(I)\) and \(\sigma\geq \sigma_0> 0\) on \(I\); and -- \(b/\sigma\) is an \(\alpha\)-Hölderian on \(I\), for some \(0<\alpha<1\). Then the authors prove that for any \(0<\gamma<\alpha\) and \(0\leq t\leq T\), \(X_t\) admits a \(\gamma\)-Hölderian density on \(]y-{r\over 6},y+{r\over 6}[\). They proceed by a Girsanov transform supporting the drift term, localization to \(I\), smoothing of the Girsanov exponential martingale, and Malliavin calculus.
0 references