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Weak solutions for singular multiplicative SDEs via regularization by noise

Authors :
Bechtold, Florian
Hofmanová, Martina
Source :
Stochastic Processes and their Applications. 157:413-435
Publication Year :
2023
Publisher :
Elsevier BV, 2023.

Abstract

We study multiplicative SDEs perturbed by an independent additive fractional Brownian motion. Provided the Hurst parameter is chosen in a specified regime, we establish existence of probabilistically weak solutions to the SDE if the measurable diffusion coefficient merely satisfies an integrability condition. In particular, this allows to consider certain singular diffusion coefficients. (c) 2022 Published by Elsevier B.V.

Details

ISSN :
03044149
Volume :
157
Database :
OpenAIRE
Journal :
Stochastic Processes and their Applications
Accession number :
edsair.doi.dedup.....926887bbd0fbb4075b5d52166bf41c44
Full Text :
https://doi.org/10.1016/j.spa.2022.12.010