Multidimensional stochastic differential equations with distributional drift

Franco Flandoli; Elena Issoglio; Francesco Russo

doi:10.1090/tran/6729

Multidimensional stochastic differential equations with distributional drift

Franco Flandoli
, Elena Issoglio
, Francesco Russo

University of Pisa
Department of Mathematics
University of Leeds
Université Paris-Saclay

Research output: Contribution to journal › Article › peer-review

54 Citations (Scopus)

Abstract

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

Original language	English
Pages (from-to)	1665-1688
Number of pages	24
Journal	Transactions of the American Mathematical Society
Volume	369
Issue number	3
DOIs	https://doi.org/10.1090/tran/6729
Publication status	Published - 1 Jan 2017
Externally published	Yes

Keywords

Distributional drift
Kolmogorov equation
Stochastic differential equations

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10.1090/tran/6729

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title = "Multidimensional stochastic differential equations with distributional drift",

abstract = "This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.",

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author = "Franco Flandoli and Elena Issoglio and Francesco Russo",

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AU - Russo, Francesco

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N2 - This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

AB - This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

KW - Distributional drift

KW - Kolmogorov equation

KW - Stochastic differential equations

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DO - 10.1090/tran/6729

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JO - Transactions of the American Mathematical Society

JF - Transactions of the American Mathematical Society

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Multidimensional stochastic differential equations with distributional drift

Abstract

Keywords

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