Construction of strong solutions of SDE's via Malliavin calculus
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Publication:971842
DOI10.1016/J.JFA.2009.11.010zbMATH Open1195.60082OpenAlexW2017235256MaRDI QIDQ971842FDOQ971842
Authors: Thilo Meyer-Brandis, F. Proske 
Publication date: 17 May 2010
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jfa.2009.11.010
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (33)
- Optimal control of an energy storage facility under a changing economic environment and partial information
- Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
- A simple method for the existence of a density for stochastic evolutions with rough coefficients
- \(C^{\infty}\)-regularization by noise of singular ODE's
- Weak approximations. A Malliavin calculus approach
- Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
- Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
- Regularity properties of the stochastic flow of a skew fractional Brownian motion
- Averaging along irregular curves and regularisation of ODEs
- Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
- Form-boundedness and SDEs with singular drift
- Pricing and hedging of variable annuities with state-dependent fees
- Regularity properties of jump diffusions with irregular coefficients
- Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
- Exponential almost sure synchronization of one-dimensional diffusions with nonregular coefficients
- A comparison theorem for stochastic differential equations under the Novikov condition
- Stochastic regularization effects of semi-martingales on random functions
- Restoration of well-posedness of infinite-dimensional singular ODE's via noise
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- Regularity of strong solutions of one-dimensional SDE's with discontinuous and unbounded drift
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- Flows for singular stochastic differential equations with unbounded drifts
- Strong solutions of mean-field stochastic differential equations with irregular drift
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- Strong solutions of SDEs with singular (form-bounded) drift via Röckner-Zhao approach
- On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
- Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
- Pathwise regularisation of singular interacting particle systems and their mean field limits
- Stochastic differential equations—some new ideas
- \(C^{\infty}\)-regularization of ODEs perturbed by noise
- Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
- Computing deltas without derivatives
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