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Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift

Baños, David Ruiz; Nilssen, Torstein Kastberg; Proske, Frank Norbert
Journal article; AcceptedVersion; Peer reviewed
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fBm_29_05_18.pdf (511.1Kb)
Year
2019
Permanent link
http://urn.nb.no/URN:NBN:no-78205

CRIStin
1402935

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  • Matematisk institutt [2422]
  • CRIStin høstingsarkiv [15189]
Original version
Journal of Dynamics and Differential Equations. 2019, DOI: https://doi.org/10.1007/s10884-019-09789-4
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.
 
Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift
 
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