Article ID Journal Published Year Pages File Type
10527301 Stochastic Processes and their Applications 2016 44 Pages PDF
Abstract
We consider the ordinary differential equation (ODE) dxt=b(t,xt)dt+dwt where w is a continuous driving function and b is a time-dependent vector field which possibly is only a distribution in the space variable. We quantify the regularising properties of an arbitrary continuous path w on the existence and uniqueness of solutions to this equation. In this context we introduce the notion of ρ-irregularity and show that it plays a key role in some instances of the regularisation by noise phenomenon. In the particular case of a function w sampled according to the law of the fractional Brownian motion of Hurst index H∈(0,1), we prove that almost surely the ODE admits a solution for all b in the Besov-Hölder space B∞,∞α+1 with α>−1/2H. If α>1−1/2H then the solution is unique among a natural set of continuous solutions. If H>1/3 and α>3/2−1/2H or if α>2−1/2H then the equation admits a unique Lipschitz flow. Note that when α<0 the vector field b is only a distribution, nonetheless there exists a natural notion of solution for which the above results apply.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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