Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations
Harang FA, Ling C (2021)
Journal of Theoretical Probability 35: 1706–1735.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
Download
s10959-021-01114-4.pdf
484.19 KB
Autor*in
Harang, Fabian A.;
Ling, ChengchengUniBi
Einrichtung
Abstract / Bemerkung
We investigate the space-time regularity of the local time associated with Volterra-Levy processes, including Volterra processes driven by alpha-stable processes for alpha is an element of. (0, 2]. We show that the spatial regularity of the local time for Volterra-Levy process is P-a.s. inverse proportional to the singularity of the associated Volterra kernel. We apply our results to the investigation of path-wise regularizing effects obtained by perturbation of ordinary differential equations by a Volterra-Levy process which has sufficiently regular local time. Following along the lines of Harang and Perkowski (2020), we show existence, uniqueness and differentiability of the flow associated with such equations.
Stichworte
Stochastic differential equations;
Levy process;
Volterra process;
Regularization by noise;
Occupation measure;
Local time;
Young integral;
Stochastic Sewing Lemma
Erscheinungsjahr
2021
Zeitschriftentitel
Journal of Theoretical Probability
Band
35
Seite(n)
1706–1735
Urheberrecht / Lizenzen
ISSN
0894-9840
eISSN
1572-9230
Page URI
https://pub.uni-bielefeld.de/record/2957016
Zitieren
Harang FA, Ling C. Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of Theoretical Probability. 2021;35:1706–1735.
Harang, F. A., & Ling, C. (2021). Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of Theoretical Probability, 35, 1706–1735. https://doi.org/10.1007/s10959-021-01114-4
Harang, Fabian A., and Ling, Chengcheng. 2021. “Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations”. Journal of Theoretical Probability 35: 1706–1735.
Harang, F. A., and Ling, C. (2021). Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of Theoretical Probability 35, 1706–1735.
Harang, F.A., & Ling, C., 2021. Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of Theoretical Probability, 35, p 1706–1735.
F.A. Harang and C. Ling, “Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations”, Journal of Theoretical Probability, vol. 35, 2021, pp. 1706–1735.
Harang, F.A., Ling, C.: Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of Theoretical Probability. 35, 1706–1735 (2021).
Harang, Fabian A., and Ling, Chengcheng. “Regularity of Local Times Associated with Volterra-Levy Processes and Path-Wise Regularization of Stochastic Differential Equations”. Journal of Theoretical Probability 35 (2021): 1706–1735.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Creative Commons Namensnennung 4.0 International Public License (CC-BY 4.0):
Volltext(e)
Name
s10959-021-01114-4.pdf
484.19 KB
Access Level
Open Access
Zuletzt Hochgeladen
2023-08-10T08:38:33Z
MD5 Prüfsumme
2583da4767a0cffd53002eb1ff1c92dd
Link(s) zu Volltext(en)
Access Level
Open Access
Export
Markieren/ Markierung löschen
Markierte Publikationen
Web of Science
Dieser Datensatz im Web of Science®Suchen in
Google Scholar