Stochastic differential equations with Holder-Dini drift and driven by α-stable processes

被引：0

作者：

Tian, Rongrong ^{[1
]}

Wei, Jinlong ^{[2
]}

Duan, Jinqiao ^{[3
]}

机构：

[1] Wuhan Univ Technol, Sch Math & Stat, Wuhan 430070, Peoples R China

[2] Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan 430073, Peoples R China

[3] Great Bay Univ, Coll Sci, Dongguan 523000, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2024年 / 24卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Stochastic differential equation; alpha-stable process; fractional Fokker-Planck-Kolmogorov equation; PATHWISE UNIQUENESS; SDES; REGULARITY; EXISTENCE;

D O I：

10.1142/S0219493724500370

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove the Holder-Dini regularity for a class of fractional Fokker-Planck-Kolmogorov equations. Then, by applying the Ito-Tanaka trick, we obtain the unique strong solvability of time inhomogeneous stochastic differential equations with drift coefficients in L-t(infinity)(C-b,d(beta,rho)) for beta = 1 - alpha/2 and driven by alpha-stable processes.

引用

页数：22

共 50 条

[41] Remark on pathwise uniqueness of stochastic differential equations driven by Levy processes
Takeuchi, Atsushi
Tsukada, Hiroshi
STOCHASTIC ANALYSIS AND APPLICATIONS, 2019, 37 (02) : 155 - 170
[42] Successful couplings for a class of stochastic differential equations driven by Levy processes
Lin HuoNan
Wang Jian
SCIENCE CHINA-MATHEMATICS, 2012, 55 (08) : 1735 - 1748
[43] Skorohod and rough integration for stochastic differential equations driven by Volterra processes
Cass, Thomas
Lim, Nengli
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2021, 57 (01): : 132 - 168
[44] Coupling and exponential ergodicity for stochastic differential equations driven by Levy processes
Majka, Mateusz B.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 127 (12) : 4083 - 4125
[45] Pathwise uniqueness for stochastic differential equations driven by pure jump processes
Zheng, Jiayu
Xiong, Jie
STATISTICS & PROBABILITY LETTERS, 2017, 130 : 100 - 104
[46] Levy driven CARMA generalized processes and stochastic partial differential equations
Berger, David
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (10) : 5865 - 5887
[47] Stationary Solutions for Stochastic Differential Equations Driven by Lévy Processes
Huijie Qiao
Journal of Dynamics and Differential Equations, 2017, 29 : 1195 - 1213
[48] MODELING AND ANALYSIS OF STOCHASTIC DIFFERENTIAL-EQUATIONS DRIVEN BY POINT PROCESSES
MARCUS, SI
IEEE TRANSACTIONS ON INFORMATION THEORY, 1978, 24 (02) : 164 - 172
[49] Stationary Solutions for Stochastic Differential Equations Driven by L,vy Processes
Qiao, Huijie
JOURNAL OF DYNAMICS AND DIFFERENTIAL EQUATIONS, 2017, 29 (03) : 1195 - 1213
[50] Semilinear fractional stochastic differential equations driven by a γ-Holder continuous signal with γ > 2/3
Leon, Jorge A.
Marquez-Carreras, David
STOCHASTICS AND DYNAMICS, 2021, 21 (01)

← 1 2 3 4 5 →