On some properties of space inverses of stochastic flows

DOI10.1007/S40072-015-0056-8zbMATH Open1337.60124arXiv1411.6277OpenAlexW2964286384MaRDI QIDQ282597FDOQ282597

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)

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.

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

Recommendations

• scientific article; zbMATH DE number 4100323
• Some LP local estimates related to the solutions of stochastic differential equations and application to stochastic flows
• scientific article; zbMATH DE number 956698
• Reversible stochastic flows associated with nonlinear SPDEs
• Some results about stochastic flows with and without jumps

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)

Cites Work

• Elliptic partial differential equations of second order
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Properties of solutions of stochastic differential equations
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Global inversion of functions: An introduction
• Convergence of stochastic flows with jumps and Lévy processes in diffeomorphisms group
• On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
• Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
• Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some remarks about backward itô formula and applications
• Stochastic flow for SDEs with jumps and irregular drift term
• Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• A Feynman-Kac formula for stochastic Dirichlet problems
• On classical solutions of linear stochastic integro-differential equations
• 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

This page was built for publication: On some properties of space inverses of stochastic flows

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q282597)