Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

DOI10.1214/EJP.V18-2820MaRDI QIDQ388929zbMATH OpenFDO

Authors Xicheng Zhang

Publication date 17 January 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.1884

zbMATH Keywords

Fokker-Planck equationjump-diffusionDiperni-Lions theorygeneralized stochastic flow

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.

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Cited in

(13)

• On the equivalence between some jumping SDEs with rough coefficients and some non-local PDEs
• Superposition principle for non-local Fokker-Planck-Kolmogorov operators
• On some properties of space inverses of stochastic flows
• Hölder regularity and gradient estimates for SDEs driven by cylindrical \(\alpha \)-stable processes
• Supports for degenerate stochastic differential equations with jumps and applications
• Singular integrals and Feller semigroups with jump phenomena
• Optimal harvesting for a stochastic regime-switching logistic diffusion system with jumps
• Quantitative stability estimates for Fokker-Planck equations
• Integrability and regularity of the flow of stochastic differential equations with jumps
• Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
• On classical solutions of linear stochastic integro-differential equations
• Kantorovich-Rubinstein distance and approximation for non-local Fokker-Planck equations
• The Itô SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients

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