کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7547958 | 1489838 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On some applications of Sobolev flows of SDEs with unbounded drift coefficients
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study two applications of spatial Sobolev smoothness of stochastic flows of unique strong solution to stochastic differential equations (SDEs) with irregular drift coefficients. First, we analyse the stochastic transport equation assuming that the drift coefficient is Borel measurable, with spatial linear growth and show that the above equation has a unique Sobolev differentiable weak coefficient for all tâ[0,T] for T small enough. Second, we consider the Kolmogorov equation and obtain a representation of the spatial derivative of its solution v. The latter result is obtained via the martingale representation theorem given in (Elliott and Kohlmann, 1988) and generalises the results in (Elworthy and Li, 1994; Menoukeu-Pamen et al., 2013).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 141, October 2018, Pages 114-124
Journal: Statistics & Probability Letters - Volume 141, October 2018, Pages 114-124
نویسندگان
Olivier Menoukeu Pamen,