Stochastic regularization effects of semi-martingales on random functions

DOI10.1016/J.MATPUR.2016.04.004zbMATH Open1351.35274arXiv1507.05579OpenAlexW2963119839MaRDI QIDQ335875FDOQ335875

Authors: Romain Duboscq, Anthony Réveillac 

Publication date: 3 November 2016

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Abstract: In this paper we address an open question formulated in [17]. That is, we extend the It{^o}-Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker-Planck equation associated to X, to random mappings f. To this end we provide new results on a class of adpated and non-adapted Fokker-Planck SPDEs and BSPDEs.

Full work available at URL: https://arxiv.org/abs/1507.05579

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zbMATH Keywords

Malliavin calculus(backward) stochastic partial differential equationsstochastic regularizationItô-Tanaka trick

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integral equations (60H20)

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Cited In (13)

• Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness
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• The It{\^o}-Tanaka Trick: a non-semimartingale approach
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• SDEs with random and irregular coefficients
• Regularization by noise for rough differential equations driven by Gaussian rough paths
• Strong solutions of a stochastic differential equation with irregular random drift

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