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Flandoli, F, Issoglio, E and Russo, F (2014) Multidimensional stochastic differential equations with distributional drift.
Abstract
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.
Metadata
| Item Type: | Article |
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| Authors/Creators: |
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| Copyright, Publisher and Additional Information: | © 2014. Published in arXiv and uploaded in accordance with the publisher's self archiving policy. |
| Keywords: | math.PR; math.PR; Stochastic differential equations; distributional drift; Kolmogorov equation |
| Dates: |
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| Institution: | The University of Leeds |
| Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
| Depositing User: | Symplectic Publications |
| Date Deposited: | 21 Nov 2014 11:11 |
| Last Modified: | 17 Jan 2018 12:13 |
| Status: | Published |
| Related URLs: | |
| Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:80850 |
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