Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift

DOI10.1007/S10884-019-09789-4zbMATH Open1456.60140arXiv1511.02717OpenAlexW2971798505MaRDI QIDQ2211289FDOQ2211289

Authors: Torstein Nilssen, David R. Baños, F. Proske 

Publication date: 11 November 2020

Published in: Journal of Dynamics and Differential Equations (Search for Journal in Brave)

Abstract: In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove the rather surprising result of the higher order Frechet differentiability of stochastic flows of such SDE's in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a "local time variational calculus". We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

Full work available at URL: https://arxiv.org/abs/1511.02717

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zbMATH Keywords

Malliavin calculusstochastic flowsSobolev derivativecompactness criterionSDEsirregular drift

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularity of solutions in optimal control (49N60)

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