Regularity properties of jump diffusions with irregular coefficients

Zhao G (2021)
Journal of Mathematical Analysis and Applications 502(1): 125220.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
In this paper, we investigate the regularity properties of strong solutions to SDEs driven by Levy processes with irregular drift coefficients. Under some mild conditions, we show that the singular SDE has a unique strong solution for each starting point and the family of all the solutions forms a stochastic flow. Moreover, the Malliavin differentiability of the strong solutions is also obtained. As an application, we also prove a path-by-path uniqueness result for some related random ODEs. Our proofs are based on Schauder's estimate for the corresponding resolvent equation, which is also analytically interesting in itself. (C) 2021 Elsevier Inc. All rights reserved.
Stichworte
Stochastic flow; Levy process; Zvonkin's transformation; Malliavin; differentiability
Erscheinungsjahr
2021
Zeitschriftentitel
Journal of Mathematical Analysis and Applications
Band
502
Ausgabe
1
Art.-Nr.
125220
ISSN
0022-247X
eISSN
1096-0813
Page URI
https://pub.uni-bielefeld.de/record/2955683

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Zhao G. Regularity properties of jump diffusions with irregular coefficients. Journal of Mathematical Analysis and Applications. 2021;502(1): 125220.
Zhao, G. (2021). Regularity properties of jump diffusions with irregular coefficients. Journal of Mathematical Analysis and Applications, 502(1), 125220. https://doi.org/10.1016/j.jmaa.2021.125220
Zhao, G. (2021). Regularity properties of jump diffusions with irregular coefficients. Journal of Mathematical Analysis and Applications 502:125220.
Zhao, G., 2021. Regularity properties of jump diffusions with irregular coefficients. Journal of Mathematical Analysis and Applications, 502(1): 125220.
G. Zhao, “Regularity properties of jump diffusions with irregular coefficients”, Journal of Mathematical Analysis and Applications, vol. 502, 2021, : 125220.
Zhao, G.: Regularity properties of jump diffusions with irregular coefficients. Journal of Mathematical Analysis and Applications. 502, : 125220 (2021).
Zhao, Guohuan. “Regularity properties of jump diffusions with irregular coefficients”. Journal of Mathematical Analysis and Applications 502.1 (2021): 125220.

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