Flow of diffeomorphisms for SDEs with unbounded H\'older continuous drift

Autor:	Flandoli, F., Gubinelli, M., Priola, E.
Rok vydání:	2009
Předmět:	Mathematics - Probability 60H10 35B65
Druh dokumentu:	Working Paper
Popis:	We consider a SDE with a smooth multiplicative non-degenerate noise and a possibly unbounded Holder continuous drift term. We prove existence of a global flow of diffeomorphisms by means of a special transformation of the drift of Ito-Tanaka type. The proof requires non-standard elliptic estimates in Holder spaces. As an application of the stochastic flow, we obtain a Bismut-Elworthy-Li type formula for the first derivatives of the associated diffusion semigroup. Comment: 21 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/0907.3668 Zobrazit plný text záznamu View this record from Arxiv