Related papers: Absolute continuity under flows generated by SDE w…

In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…

We consider a stochastic flow on $\mathds{R}$ generated by an SDE with its drift being a function of bounded variation. We show that the flow is differentiable with respect to the initial conditions. Asymptotic properties of the flow are…

We consider a $d$-dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.

We consider It\^o SDE $\d X_t=\sum_{j=1}^m A_j(X_t) \d w_t^j + A_0(X_t) \d t$ on $\R^d$. The diffusion coefficients $A_1,..., A_m$ are supposed to be in the Sobolev space $W_\text{loc}^{1,p} (\R^d)$ with $p>d$, and to have linear growth;…

The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…

Stochastic flows generated by reflected SDEs in a half-plane with an additive diffusion term are considered. A derivative in the initial data is represented a.s. as an infinite product of matrices. We use this representation and construct…

We consider non degenerate Brownian SDEs with H{\"o}lder continuous in space diffusion coefficient and unbounded drift with linear growth. We derive two sided bounds for the associated density and pointwise controls of its derivatives up to…

We consider a SDE with a smooth multiplicative non-degenerate noise and a possibly unbounded Holder continuous drift term. We prove existence of a global flow of diffeomorphisms by means of a special transformation of the drift of…

In this paper we consider the It\^o SDE $$d X_t=d W_t+b(t,X_t)\,d t, \quad X_0=x\in {\mathbb R}^d,$$ where $W_t$ is a $d$-dimensional standard Wiener process and the drift coefficient $b:[0,T]\times{\mathbb R}^d\to{\mathbb R}^d$ belongs to…

We construct a stochastic flow generated by an SDE with L\'evy noise and a drift coefficient being a function of bounded variation on R. It is proved that this flow is non-coalescing and Sobolev differentiable with respect to initial data.…

We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…

In this article we prove that stochastic differential equation (SDE) with Sobolev drift on compact Riemannian manifold admits a unique $\nu$-almost everywhere stochastic invertible flow, where $\nu$ is the Riemannian measure, which is…

We prove existence of a stochastic flow of diffeomorphisms generated by SDEs with drift in $L^q_t C^{0, \alpha}_x$ for any $q \in [2, \infty)$ and $\alpha \in (0, 1)$. This result is achieved using a Zvonkin-type transformation for the SDE.…

We study the degenerated It\^o SDE on $\mathbb R^d$ whose drift coefficient only fulfills a mixed Osgood and Sobolev regularity. Under suitable assumptions on the gradient of the diffusion coefficient and on the divergence of the drift…

It is well-known that a stochastic differential equation (SDE) on a Euclidean space driven by a Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. When the coefficients are only locally Lipschitz,…

We establish a simple criterion for locating points where the transition density of a degenerate diffusion is strictly positive. Throughout, we assume that the diffusion satisfies a stochastic differential equation (SDE) on $\mathbf{R}^d$…

We establish a non-explosion result for rough differential equations (RDEs) in which the noise and drift coefficients, together with their derivatives, may grow unboundedly at infinity. In addition, we prove the existence of a global…

We prove existence and uniqueness of the solution for a class of mixed fractional stochastic differential equations with discontinuous drift driven by both standard and fractional Brownian motion. Additionally, we establish a generalized…

Given an one-dimensional positive recurrent diffusion governed by the Stratonovich SDE \[ X_t=x+\int_0^t\sigma(X_s)\strat db(s)+\int_0^t m(X_s) ds, \] we show that the associated stochastic flow of diffeomorphisms focuses as fast as $…

We study the notion of stochastic stability with respect to diffusive perturbations for flows with smooth invariant measures. We investigate the question fully for non-singular flows on the circle. We also show that volume-preserving flows…