Weak solutions for singular multiplicative SDEs via regularization by noise
Probability
2022-03-28 v1
Abstract
We study multiplicative SDEs perturbed by an additive fractional Brownian motion on another probability space. Provided the Hurst parameter is chosen in a specified regime, we establish existence of probabilistically weak solutions to the SDE if the measurable diffusion coefficient merely satisfies an integrability condition. In particular, this allows to consider certain singular diffusion coefficients.
Cite
@article{arxiv.2203.13745,
title = {Weak solutions for singular multiplicative SDEs via regularization by noise},
author = {Florian Bechtold and Martina Hofmanová},
journal= {arXiv preprint arXiv:2203.13745},
year = {2022}
}