dc.date.accessioned | 2022-11-01T16:44:25Z | |
dc.date.available | 2022-11-01T16:44:25Z | |
dc.date.created | 2020-08-10T10:16:44Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Harang, Fabian Andsem Galeati, Lucio . Regularization of multiplicative SDEs through additive noise. The Annals of Applied Probability. 2022, 32(5), 3930-3963 | |
dc.identifier.uri | http://hdl.handle.net/10852/97439 | |
dc.description.abstract | We investigate the regularizing effect of certain additive continuous perturbations on SDEs with multiplicative fractional Brownian motion (fBm). Traditionally, a Lipschitz requirement on the drift and diffusion coefficients is imposed to ensure existence and uniqueness of the SDE. We show that suitable perturbations restore existence, uniqueness and regularity of the flow for the resulting equation, even when both the drift and the diffusion coefficients are distributional, thus extending the program of regularization by noise to the case of multiplicative SDEs. Our method relies on a combination of the nonlinear Young formalism developed by Catellier and Gubinelli (Stochastic Process. Appl. 126 (2016) 2323–2366), and stochastic averaging estimates recently obtained by Hairer and Li (Ann. Probab. 48 (2020) 1826–1860). | |
dc.language | EN | |
dc.title | Regularization of multiplicative SDEs through additive noise | |
dc.title.alternative | ENEngelskEnglishRegularization of multiplicative SDEs through additive noise | |
dc.type | Journal article | |
dc.creator.author | Harang, Fabian Andsem | |
dc.creator.author | Galeati, Lucio | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og stokastikk (SEKSJON 3) | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1822321 | |
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=The Annals of Applied Probability&rft.volume=32&rft.spage=3930&rft.date=2022 | |
dc.identifier.jtitle | The Annals of Applied Probability | |
dc.identifier.volume | 32 | |
dc.identifier.issue | 5 | |
dc.identifier.startpage | 3930 | |
dc.identifier.endpage | 3963 | |
dc.identifier.doi | https://doi.org/10.1214/21-AAP1778 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1050-5164 | |
dc.type.version | PublishedVersion | |
dc.relation.project | NFR/274410 | |