Regularization of differential equations by fractional noise.

From MaRDI portal

Publication:2574521

Jump to:navigation, search

DOI10.1016/S0304-4149(02)00155-2zbMath1075.60536MaRDI QIDQ2574521

David Nualart, Youssef Ouknine

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion Malliavin calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Related Items

Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions ⋮ Regularization of differential equations by two fractional noises ⋮ Averaging along irregular curves and regularisation of ODEs ⋮ Noiseless regularisation by noise ⋮ Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise ⋮ Some Compactness Criteria for Weak Solutions of Time Fractional PDEs ⋮ Girsanov theorem for multifractional Brownian processes ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Statistical aspects of the fractional stochastic calculus ⋮ Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure ⋮ Equivalence of laws and null controllability for SPDEs driven by a fractional Brownian motion ⋮ Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion ⋮ On uniqueness for some non-Lipschitz SDE ⋮ On the existence of solutions for stochastic differential equations driven by fractional Brownian motion ⋮ Remarks on parameter estimation for the drift of fractional Brownian sheet ⋮ Harnack inequality and derivative formula for SDE driven by fractional Brownian motion ⋮ Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion ⋮ Harnack-type inequality for linear fractional stochastic equations ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Parameter estimation of stochastic differential equation driven by small fractional noise ⋮ Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion ⋮ A stochastic sewing lemma and applications ⋮ Generalisation of fractional Cox-Ingersoll-Ross process ⋮ Fractional stochastic differential equations satisfying fluctuation-dissipation theorem ⋮ Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths ⋮ Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift ⋮ On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise ⋮ Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions ⋮ Application of capacities to space–time fractional dissipative equations I: regularity and the blow-up set ⋮ Distribution dependent SDEs driven by additive fractional Brownian motion ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Perturbations of singular fractional SDEs ⋮ Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching ⋮ On mixed fractional stochastic differential equations with discontinuous drift coefficient ⋮ Parameter estimation for stochastic equations with additive fractional Brownian sheet ⋮ Regularisation by regular noise ⋮ Regularisation by fractional noise for one-dimensional differential equations with distributional drift ⋮ Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion ⋮ Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients ⋮ Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations ⋮ Drift estimation with non-Gaussian noise using Malliavin calculus ⋮ Harnack inequalities for SDEs driven by subordinator fractional Brownian motion ⋮ On the (non)stationary density of fractional-driven stochastic differential equations ⋮ Stochastic differential equations driven by an additive fractional Brownian sheet ⋮ An Osgood criterion for integral equations with applications to stochastic differential equations with an additive noise ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises ⋮ Restoration of well-posedness of infinite-dimensional singular ODE's via noise ⋮ Comparison inequalities on Wiener space ⋮ Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift ⋮ Neutral stochastic functional differential equations driven by a fractional Brownian motion in a Hilbert space ⋮ Unnamed Item ⋮ Functional differential equations driven by a fractional Brownian motion ⋮ Unnamed Item ⋮ Estimation of the drift of fractional Brownian motion ⋮ Nonparametric inference for fractional diffusion ⋮ Stochastic differential equations driven by fractional Brownian motion ⋮ Stochastic derivatives for fractional diffusions ⋮ Regularity properties of the stochastic flow of a skew fractional Brownian motion ⋮ REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE ⋮ APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL ⋮ Forward-backward SDEs with discontinuous coefficients ⋮ Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ LAN property for stochastic differential equations with additive fractional noise and continuous time observation ⋮ Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition ⋮ Optimal approximation of SDE's with additive fractional noise ⋮ Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion ⋮ Differentiating σ-fields for Gaussian and shifted Gaussian processes ⋮ A singular stochastic differential equation driven by fractional Brownian motion ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\) ⋮ Mutual information for stochastic differential equations driven by fractional Brownian motion ⋮ Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet ⋮ EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises ⋮ Approximation of SDEs: a stochastic sewing approach ⋮ Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients ⋮ Existence and Besov regularity of the density for a class of SDEs with Volterra noise ⋮ Fractional Cox-Ingersoll-Ross process with small Hurst indices ⋮ Statistical causality and adapted distribution ⋮ Hurst index estimation in stochastic differential equations driven by fractional Brownian motion ⋮ Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions ⋮ Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions ⋮ Strong regularization by Brownian noise propagating through a weak Hörmander structure ⋮ Regularization of multiplicative SDEs through additive noise ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process ⋮ Optimal Investment and Dividend Strategy under Renewal Risk Model ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices ⋮ Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:2574521&oldid=15332717"