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

DOI10.1016/J.SPL.2018.05.029zbMATH Open1395.60065OpenAlexW2805323411MaRDI QIDQ722671FDOQ722671

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

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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)

Cites Work

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• A short proof of a martingale representation result
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• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• On the Strong Solutions of Stochastic Differential Equations
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• Spatial estimates for stochastic flows in Euclidean space
• Flows for singular stochastic differential equations with unbounded drifts

Cited In (4)

• Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts
• Stochastic differential equations with coefficients in Sobolev spaces
• Flows for singular stochastic differential equations with unbounded drifts
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations

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