On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
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Publication:2253286
DOI10.1016/J.JFA.2014.02.009zbMATH Open1300.60079arXiv1305.2043OpenAlexW2010424281MaRDI QIDQ2253286FDOQ2253286
Publication date: 25 July 2014
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Abstract: In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.
Full work available at URL: https://arxiv.org/abs/1305.2043
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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