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Multidimensional stochastic differential equations with distributional drift

Franco Flandoli, Elena Issoglio, Francesco Russo

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Source: Crossref

Published: Jun 20, 2016

DOI: 10.1090/tran/6729

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Source abstract

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

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Multidimensional stochastic differential equations with distributional drift — Mathematical Frontier Network