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

DOI10.1080/17442508.2015.1102265zbMATH Open1337.60115arXiv1410.0786OpenAlexW2286086841MaRDI QIDQ2804559FDOQ2804559

Authors: Torstein Nilssen, David R. Baños 

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

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.

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

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

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)

Cites Work

• The Malliavin Calculus and Related Topics
• Dirichlet forms and analysis on Wiener space
• Well-posedness of the transport equation by stochastic perturbation
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Construction of strong solutions of SDE's via Malliavin calculus
• 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
• Integration with respect to local time
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• Existence of densities of solutions of stochastic differential equations by Malliavin calculus
• Existence and regularity of density for solutions to stochastic differential equations with boundary conditions

Cited In (5)

• Title not available (Why is that?)
• State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs
• The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• Computing deltas without derivatives

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)