Zero noise limits using local times

DOI10.1214/ECP.V18-2587zbMATH Open1329.60197arXiv1301.6510WikidataQ62043501 ScholiaQ62043501MaRDI QIDQ742994FDOQ742994

Authors: Dario Trevisan 

Publication date: 22 September 2014

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

Abstract: We consider a well-known family of SDEs with irregular drifts and the correspondent zero noise limits. Using (mollified) local times, we show which trajectories are selected. The approach is completely probabilistic and relies on elementary stochastic calculus only.

Full work available at URL: https://arxiv.org/abs/1301.6510

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zbMATH Keywords

stochastic differential equationslocal timesPeano phenomenazero noise limits

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Ordinary differential equations and systems with randomness (34F05) Local time and additive functionals (60J55)

Cited In (7)

• Selection of equilibria in a linear quadratic mean-field game
• On regularization by a small noise of multidimensional odes with non-Lipschitz coefficients
• On small-noise equations with degenerate limiting system arising from volatility models
• Generalized Peano problem with Lévy noise
• The transition point in the zero noise limit for a 1D Peano example
• On the convergence of closed-loop Nash equilibria to the mean field game limit
• On a selection problem for small noise perturbation in the multidimensional case

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