| dc.date.accessioned | 2020-05-04T18:22:31Z | |
| dc.date.available | 2020-09-06T22:46:15Z | |
| dc.date.created | 2016-11-22T13:45:22Z | |
| dc.date.issued | 2019 | |
| dc.identifier.citation | Baños, David Ruiz Nilssen, Torstein Kastberg Proske, Frank Norbert . Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift. Journal of Dynamics and Differential Equations. 2019 | |
| dc.identifier.uri | http://hdl.handle.net/10852/75081 | |
| dc.description.abstract | In this paper we present a new method for the construction of strong solutions of SDE’s with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H<1/2. Furthermore, we prove the rather surprising result of the higher order Fréchet differentiability of stochastic flows of such SDE’s in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a “local time variational calculus”. We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths. | |
| dc.description.abstract | Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift | |
| dc.language | EN | |
| dc.title | Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift | |
| dc.type | Journal article | |
| dc.creator.author | Baños, David Ruiz | |
| dc.creator.author | Nilssen, Torstein Kastberg | |
| dc.creator.author | Proske, Frank Norbert | |
| cristin.unitcode | 185,15,13,35 | |
| cristin.unitname | Risiko og Stokastikk | |
| cristin.ispublished | true | |
| cristin.fulltext | preprint | |
| cristin.fulltext | postprint | |
| cristin.qualitycode | 1 | |
| dc.identifier.cristin | 1402935 | |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal of Dynamics and Differential Equations&rft.volume=&rft.spage=&rft.date=2019 | |
| dc.identifier.jtitle | Journal of Dynamics and Differential Equations | |
| dc.identifier.doi | https://doi.org/10.1007/s10884-019-09789-4 | |
| dc.identifier.urn | URN:NBN:no-78205 | |
| dc.type.document | Tidsskriftartikkel | |
| dc.type.peerreviewed | Peer reviewed | |
| dc.source.issn | 1040-7294 | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/75081/2/fBm_29_05_18.pdf | |
| dc.type.version | AcceptedVersion | |