Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift (Q904717)

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 6529753
Language Label Description Also known as
default for all languages
No label defined
    English
    Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift
    scientific article; zbMATH DE number 6529753

      Statements

      Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift (English)
      0 references
      13 January 2016
      0 references
      The author studies a class of Itō stochastic differential equations (SDEs) with singular time-dependent drift. The main result is given in Theorem 1. It shows that the Lebesgue measure is quasi-invariant under the flow associated to a given SDE and extends some results given, for example, in [\textit{E. Fedrizzi} and \textit{F. Flandoli}, Stochastics 83, No. 3, 241--257 (2011; Zbl 1221.60081); Stochastic Anal. Appl. 31, No. 4, 708--736 (2013; Zbl 1281.60055)] or [\textit{D.-J. Luo}, Stochastic Processes Appl. 121, No. 10, 2393--2415 (2011; Zbl 1227.60076)].
      0 references
      0 references
      Itō stochastic differential equation
      0 references
      stochastic flow
      0 references
      singular time-dependent drift
      0 references
      quasi-invariance
      0 references
      Zvokin-type transformation
      0 references
      0 references
      0 references

      Identifiers