Stochastic differential equations with discontinuous diffusion coefficients

DOI10.1090/tpms/1201arXiv1908.03183OpenAlexW4387301826MaRDI QIDQ6050286

Lauri Viitasaari, Soledad Torres

Publication date: 12 October 2023

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.03183

zbMATH Keywords

stochastic differential equationbounded variationHölder continuityfractional calculusdiscontinuity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Properties and numerical evaluation of the Rosenblatt distribution
• Functional analysis, Sobolev spaces and partial differential equations
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Weak solutions for stochastic differential equations with additive fractional noise
• On a SDE driven by a fractional Brownian motion and with monotone drift
• Sobolev regularity of occupation measures and paths, variability and compositions
• Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
• Young differential equations with power type nonlinearities
• Stochastic calculus for fractional Brownian motion and related processes.
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• On solutions of one-dimensional stochastic differential equations without drift
• Composing Functions of Bounded Variation
• Fractional stochastic differential equation with discontinuous diffusion

This page was built for publication: Stochastic differential equations with discontinuous diffusion coefficients