Stochastic flow for SDEs with jumps and irregular drift term

DOI10.4064/BC105-0-12MaRDI QIDQ5265542zbMATH OpenOpenAlexFDO

Authors E. Priola

Publication date 28 July 2015

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.2575

zbMATH Keywords

jumpsLévy noisestochastic differential equationsstochastic flowtempered stable processestruncated stable processes

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Smoothness and regularity of solutions to PDEs (35B65) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider non-degenerate SDEs with a $$-Holder continuous and bounded drift term and driven by a Levy noise $L$ which is of $alpha$-stable type. If $alphain[1,2)$ and $$ we show pathwise uniqueness and existence of a stochastic flow. We follow the approach of [Priola, Osaka J. Math. 2012] improving the assumptions on the noise $L$. In our previous paper $L$ was assumed to be non-degenerate, $alpha$-stable and symmetric. Here we can also recover relativistic and truncated stable processes and some classes of temperated stable processes.

Recommendations

• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Stochastic flows and jump-diffusions
• Integrability and regularity of the flow of stochastic differential equations with jumps
• Stochastic flows of diffeomorphisms for one-dimensional SDE with discontinuous drift
• Flows for singular stochastic differential equations with unbounded drifts
• On differentiability of stochastic flow for a multidimensional SDE with discontinuous drift
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• scientific article; zbMATH DE number 956698
• Stochastic differential equations with critically irregular drift coefficients
• Decomposition of stochastic flows generated by Stratonovich SDEs with jumps

Cited in

(28)

• Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
• Davie's type uniqueness for a class of SDEs with jumps
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity
• Stochastic flows for Lévy processes with Hölder drifts
• Regularity properties of jump diffusions with irregular coefficients
• Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
• Schauder estimates for Poisson equations associated with non-local Feller generators
• Nonlocal elliptic equation in Hölder space and the martingale problem
• Multidimensional SDE with distributional drift and Lévy noise
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
• Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling
• Singular SDEs with critical non-local and non-symmetric Lévy type generator
• Well-posedness of SDEs with drifts in mixed-norm spaces and driven by mixed-noises
• On the tangent flow of a stochastic differential equation with fast drift
• On some properties of space inverses of stochastic flows
• On classical solutions of linear stochastic integro-differential equations
• Weak uniqueness for SDEs driven by supercritical stable processes with Hölder drifts
• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• scientific article; zbMATH DE number 6255452 (Why is no real title available?)
• Sandwiched SDEs with unbounded drift driven by Hölder noises
• Drift reduction method for SDEs driven by heterogeneous singular Lévy noise
• Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift
• Stochastic differential equations with Hölder-Dini drift and driven by -stable processes
• Strong rate of convergence of the Euler scheme for SDEs with irregular drift driven by Lévy noise
• Pathwise uniqueness for a class of SPDEs driven by cylindrical \(\alpha \)-stable processes
• On some smoothening effects of the transition semigroup of a Lévy process
• Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift

This page was built for publication: Stochastic flow for SDEs with jumps and irregular drift term

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265542)