On some properties of space inverses of stochastic flows

DOI10.1007/S40072-015-0056-8MaRDI QIDQ282597zbMATH OpenOpenAlexFDO

Authors James-Michael Leahy, R. Mikulevicius

Publication date 12 May 2016

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.6277

zbMATH Keywords

stochastic flowsdegenerate stochastic parabolic PDEsjump stochastic differential equationsmoment estimatesstochastic characteristicsstochastic transport equationstrong limit theorem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Initial value problems for systems of linear first-order PDEs (35F40)

Abstract: We derive moment estimates and a strong limit theorem for space inverses of stochastic flows generated by jump SDEs with adapted coefficients in weighted H"older norms using the Sobolev embedding theorem and the change of variable formula. As an application of some basic properties of flows of continuous SDEs, we derive the existence and uniqueness of classical solutions of linear parabolic second order SPDEs by partitioning the time interval and passing to the limit. The methods we use allow us to improve on previously known results in the continuous case and to derive new ones in the jump case.

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Cited in

(5)

• A remark on the convergence of the inverse \(\sigma_k\)-flow
• Lagrangian averaged stochastic advection by Lie transport for fluids
• Davie's type uniqueness for a class of SDEs with jumps
• On classical solutions of linear stochastic integro-differential equations
• A Feynman-Kac formula for stochastic Dirichlet problems

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