Regularisation by fractional noise for one-dimensional differential equations with distributional drift

DOI10.1214/23-EJP1010MaRDI QIDQ6136843zbMATH OpenOpenAlexFDO

Authors Lukas Anzeletti, Alexandre Richard, Etienne Tanré

Publication date 17 January 2024

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

Full work available at URL https://arxiv.org/abs/2112.05685

zbMATH Keywords

fractional Brownian motionlocal timeregularisation by noiseskew processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized ordinary differential equations (measure-differential equations, set-valued differential equations, etc.) (34A06) Regularization by noise (60H50)

Abstract: We study existence and uniqueness of solutions to the equation $d{X}_t=b(X_t)dt+d{B}_t$, where $b$ is a distribution in some Besov space and $B$ is a fractional Brownian motion with Hurst parameter $Hleqslant1/2$. First, the equation is understood as a nonlinear Young equation. This involves a nonlinear Young integral constructed in the space of functions with finite $p$-variation, which is well suited when $b$ is a measure. Depending on $H$, a condition on the Besov regularity of $b$ is given so that solutions to the equation exist. The construction is deterministic, and $B$ can be replaced by a deterministic path $w$ with a sufficiently smooth local time. Using this construction we prove the existence of weak solutions (in the probabilistic sense). We also prove that solutions coincide with limits of strong solutions obtained by regularisation of $b$. This is used to establish pathwise uniqueness and existence of a strong solution. In particular when $b$ is a finite measure, weak solutions exist for $H<sqrt2-1$, while pathwise uniqueness and strong existence hold when $Hleqslant1/4$. The proofs involve fine properties of the local time of the fractional Brownian motion, as well as new regularising properties of this process which are established using the stochastic sewing Lemma.

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