Solution theory of fractional SDEs in complete subcritical regimes

MaRDI QIDQ6507895arXivFDO

Authors Lucio Galeati, Máté Gerencsér

Published in arXiv

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Regularization by noise (60H50)

Abstract: We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that includes strong existence, path-by-path uniqueness, existence of a solution flow of diffeomorphisms, Malliavin differentiability and $ho$-irregularity. As a consequence, we can also treat McKean-Vlasov, transport and continuity equations.

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