Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4590164 | Journal of Functional Analysis | 2014 | 39 Pages |
Abstract
In this paper we introduce a new technique to construct unique strong solutions of SDE's with singular coefficients driven by certain Lévy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory
Authors
Sven Haadem, Frank Proske,