Weak solutions for singular multiplicative SDEs via regularization by noise
Bechtold F, Hofmanová M (2023)
Stochastic Processes and their Applications 157: 413-435.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Einrichtung
Abstract / Bemerkung
We study multiplicative SDEs perturbed by an independent additive fractional Brownian motion. Provided the Hurst parameter is chosen in a specified regime, we establish existence of probabilistically weak solutions to the SDE if the measurable diffusion coefficient merely satisfies an integrability condition. In particular, this allows to consider certain singular diffusion coefficients. (c) 2022 Published by Elsevier B.V.
Stichworte
Stochastic differential equations;
Regularization by noise;
Multiplicative noise;
Young integration;
Rough;
path theory;
Weak;
solutions
Erscheinungsjahr
2023
Zeitschriftentitel
Stochastic Processes and their Applications
Band
157
Seite(n)
413-435
ISSN
0304-4149
eISSN
1879-209X
Page URI
https://pub.uni-bielefeld.de/record/2969175
Zitieren
Bechtold F, Hofmanová M. Weak solutions for singular multiplicative SDEs via regularization by noise. Stochastic Processes and their Applications. 2023;157:413-435.
Bechtold, F., & Hofmanová, M. (2023). Weak solutions for singular multiplicative SDEs via regularization by noise. Stochastic Processes and their Applications, 157, 413-435. https://doi.org/10.1016/j.spa.2022.12.010
Bechtold, Florian, and Hofmanová, Martina. 2023. “Weak solutions for singular multiplicative SDEs via regularization by noise”. Stochastic Processes and their Applications 157: 413-435.
Bechtold, F., and Hofmanová, M. (2023). Weak solutions for singular multiplicative SDEs via regularization by noise. Stochastic Processes and their Applications 157, 413-435.
Bechtold, F., & Hofmanová, M., 2023. Weak solutions for singular multiplicative SDEs via regularization by noise. Stochastic Processes and their Applications, 157, p 413-435.
F. Bechtold and M. Hofmanová, “Weak solutions for singular multiplicative SDEs via regularization by noise”, Stochastic Processes and their Applications, vol. 157, 2023, pp. 413-435.
Bechtold, F., Hofmanová, M.: Weak solutions for singular multiplicative SDEs via regularization by noise. Stochastic Processes and their Applications. 157, 413-435 (2023).
Bechtold, Florian, and Hofmanová, Martina. “Weak solutions for singular multiplicative SDEs via regularization by noise”. Stochastic Processes and their Applications 157 (2023): 413-435.
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