Rough paths;
regularization by noise;
Malliavin calculus;
MULTIPLICATIVE NOISE;
INTEGRABILITY;
D O I:
10.1214/24-AOP1701
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 consider the rough differential equation with drift driven by a Gaussian geometric rough path. Under natural conditions on the rough path, namely nondeterminism, and uniform ellipticity conditions on the diffusion coefficient, we prove path-by-path well-posedness of the equation for poorly regular drifts. In the case of the fractional Brownian motion B(H )for H > (1) (4), we prove that the drift may be taken to be kappa > 0 H & ouml;lder continuous and bounded for kappa > (3)(2) - (1) (2H) . A flow transform of the equation and Malliavin 1 calculus for Gaussian rough paths are used to achieve such a result.
机构:
Univ Oxford, Math Inst, Andrew Wiles Bldg,Woodstock Rd, Oxford OX2 6GG, England
Univ Oxford, Oxford Man Inst Quantitat Finance, Eagle House,Walton Well Rd, Oxford OX6 2ED, EnglandUniv Oxford, Math Inst, Andrew Wiles Bldg,Woodstock Rd, Oxford OX2 6GG, England