Multidimensional stochastic differential equations with distributional drift
| Autor: | Francesco Russo, Franco Flandoli, Elena Issoglio |
|---|---|
| Přispěvatelé: | Flandoli, Franco, Issoglio, Elena, Russo, Francesco, Dipartimento di Matematica, Department of Mathematics, King‘s College London, Unité de Mathématiques Appliquées (UMA), École Nationale Supérieure de Techniques Avancées (ENSTA Paris), Optimisation et commande (OC), École Nationale Supérieure de Techniques Avancées (ENSTA Paris)-École Nationale Supérieure de Techniques Avancées (ENSTA Paris), ANR-10-BLAN-0121,MASTERIE,Malliavin, Stein et Equations aléatoires à coefficients irréguliers(2010) |
| Jazyk: | angličtina |
| Rok vydání: | 2014 |
| Předmět: |
Differential equation
distributional drift Applied Mathematics General Mathematics 010102 general mathematics Mathematical analysis Probability (math.PR) First-order partial differential equation Kolmogorov equation 01 natural sciences [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] Sobolev space Stochastic partial differential equation 010104 statistics & probability Stochastic differential equation Kolmogorov structure function Stochastic differential equations 60H10 35D05 35D10 35K10 Kolmogorov equations FOS: Mathematics Fokker–Planck equation 0101 mathematics Mathematics - Probability Mathematics |
| ISSN: | 0002-9947 |
| Popis: | This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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