On some applications of Sobolev flows of SDEs with unbounded drift coefficients

DOI10.1016/J.SPL.2018.05.029MaRDI QIDQ722671zbMATH OpenOpenAlexFDO

Authors Olivier Menoukeu-Pamen

Publication date 27 July 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.05.029

zbMATH Keywords

Malliavin calculustransport equationBismut-Elworthy-Li formulairregular drift coefficientstrong solutions of SDE's

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40)

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Cites work

• scientific article; zbMATH DE number 44587 (Why is no real title available?)
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• Applications of Malliavin calculus to Monte Carlo methods in finance
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• Formulae for the derivatives of heat semigroups
• Noise prevents singularities in linear transport equations
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• On the Strong Solutions of Stochastic Differential Equations
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• Spatial estimates for stochastic flows in Euclidean space
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)

Cited in

(9)

• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• Stochastic differential equations with Sobolev diffusion and singular drift and applications
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• Stochastic differential equations with coefficients in Sobolev spaces
• Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients
• Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
• Flows for singular stochastic differential equations with unbounded drifts
• On the Sobolev space of functions with derivative of logarithmic order

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