dc.date.accessioned | 2021-09-20T15:13:27Z | |
dc.date.available | 2021-09-20T15:13:27Z | |
dc.date.created | 2021-09-15T11:59:28Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Harang, Fabian Andsem Ling, Chengcheng . Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations. Journal of theoretical probability. 2021 | |
dc.identifier.uri | http://hdl.handle.net/10852/88145 | |
dc.description.abstract | We investigate the space-time regularity of the local time associated with Volterra–Lévy processes, including Volterra processes driven by α-stable processes for α∈(0,2]. We show that the spatial regularity of the local time for Volterra–Lévy 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–Lévy 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. | |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations | |
dc.type | Journal article | |
dc.creator.author | Harang, Fabian Andsem | |
dc.creator.author | Ling, Chengcheng | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk, finans og risiko | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1934495 | |
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 theoretical probability&rft.volume=&rft.spage=&rft.date=2021 | |
dc.identifier.jtitle | Journal of theoretical probability | |
dc.identifier.doi | https://doi.org/10.1007/s10959-021-01114-4 | |
dc.identifier.urn | URN:NBN:no-90763 | |
dc.type.document | Tidsskriftartikkel | |
dc.source.issn | 0894-9840 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/88145/1/Harang-Ling2021_Article_RegularityOfLocalTimesAssociat.pdf | |
dc.type.version | PublishedVersion | |
dc.relation.project | NFR/274410 | |