Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation

DOI10.1080/17442508.2015.1102265MaRDI QIDQ2804559zbMATHOpenAlexFDO

Authors Torstein Nilssen, David R. Baños

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.0786

zbMATH Keywords

Brownian motiondensitiesstochastic differential equationsstrong solutionsstochastic transport equationSobolev regularityMalliavin regularity

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40)

Abstract: In this work we present a condition for the regularity, in both space and Malliavin sense, of strong solutions to SDEs driven by Brownian motion. We conjecture that this condition is optimal. As a consequence, we are able to improve the regularity of densities of such solutions. We also apply these results to construct a classical solution to the stochastic transport equation when the drift is Lipschitz.

Recommendations

• Existence and regularity of the density for solutions of stochastic differential equations with boundary noise
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• Regularity of strong solutions of one-dimensional SDE's with discontinuous and unbounded drift
• scientific article; zbMATH DE number 4098426
• Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle

Cites work

• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• Construction of strong solutions of SDE's via Malliavin calculus
• Dirichlet forms and analysis on Wiener space
• Existence and regularity of density for solutions to stochastic differential equations with boundary conditions
• Existence of densities of solutions of stochastic differential equations by Malliavin calculus
• Integration with respect to local time
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Riesz transform and integration by parts formulas for random variables
• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients
• The Malliavin Calculus and Related Topics
• Well-posedness of the transport equation by stochastic perturbation

Cited in

(6)

• The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
• State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs
• Regularity of density for SDEs driven by degenerate Lévy noises
• scientific article; zbMATH DE number 1998237 (Why is no real title available?)
• Computing deltas without derivatives
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients

This page was built for publication: Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2804559)