Strong existence and higher order Fr\'echet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift

David Baños; Torstein Nilssen; Frank Proske

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arXiv · 1511.02717

Strong existence and higher order Fr\'echet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift

David Baños·Torstein Nilssen·Frank Proske

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Abstract

In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove the rather surprising result of the higher order Frechet differentiability of stochastic flows of such SDE's in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a "local time variational calculus". We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

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David Baños, Torstein Nilssen, Frank Proske. 2015-11-09. Strong existence and higher order Fr\'echet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift. https://arxiv.org/abs/1511.02717

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