We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that includes strong existence, path-by-path uniqueness, existence of a solution flow of diffeomorphisms, Malliavin differentiability and ρ-irregularity. As a consequence, we can also treat McKean-Vlasov, transport and continuity equations.
Solution theory of fractional SDEs in complete subcritical regimes
Lucio Galeati;
2025-01-01
Abstract
We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that includes strong existence, path-by-path uniqueness, existence of a solution flow of diffeomorphisms, Malliavin differentiability and ρ-irregularity. As a consequence, we can also treat McKean-Vlasov, transport and continuity equations.File in questo prodotto:
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