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

DOI10.1214/23-EJP1010zbMATH Open1528.60074arXiv2112.05685OpenAlexW4226148295MaRDI QIDQ6136843FDOQ6136843

Etienne Tanré, Alexandre Richard, Lukas Anzeletti

Publication date: 17 January 2024

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

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.

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)

Cites Work

• Regularisation by regular noise
• Noiseless regularisation by noise
• Fourier Analysis and Nonlinear Partial Differential Equations
• Title not available (Why is that?)
• On skew Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the constructions of the skew Brownian motion
• Multidimensional Stochastic Processes as Rough Paths
• Sample path properties of anisotrophic Gaussian random fields
• Title not available (Why is that?)
• Strong solutions of stochastic equations with singular time dependent drift
• Regularization of differential equations by fractional noise.
• Representation Formulae for the Fractional Brownian Motion
• Occupation densities
• Averaging along irregular curves and regularisation of ODEs
• Uniqueness of Solutions of Stochastic Differential Equations
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Some SDEs with distributional drift. I: General calculus
• Rough paths and 1d SDE with a time dependent distributional drift: application to polymers
• Title not available (Why is that?)
• Multidimensional stochastic differential equations with distributional drift
• Stochastic differential equations for Dirichlet processes
• Existence of strong solutions for Itô's stochastic equations via approximations
• Title not available (Why is that?)
• Probability Theory
• Stochastic regularization effects of semi-martingales on random functions
• Title not available (Why is that?)
• C∞− regularization of ODEs perturbed by noise
• A stochastic sewing lemma and applications
• Approximation of SDEs: a stochastic sewing approach
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
• Differential equations driven by rough paths with jumps
• A multiparameter Garsia-Rodemich-Rumsey inequality and some applications
• One-dimensional reflected rough differential equations
• Non-uniqueness for reflected rough differential equations
• Penalisation techniques for one-dimensional reflected rough differential equations
• Regularity of local times associated with Volterra-Lévy processes and path-wise regularization of stochastic differential equations
• Regularity properties of the stochastic flow of a skew fractional Brownian motion
• Nonlinear Young differential equations: a review

Cited In (2)

• Path-by-path regularisation through multiplicative noise in rough, Young, and ordinary differential equations
• Comparison of classical and path-by-path solutions to SDEs

This page was built for publication: Regularisation by fractional noise for one-dimensional differential equations with distributional drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6136843)