Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift

doi:10.1007/s10959-014-0554-z

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	Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift
	Luo, Dejun
	2015-12-01
发表期刊	JOURNAL OF THEORETICAL PROBABILITY
ISSN	0894-9840
卷号	28 期号:4 页码:1743-1762
摘要	In this paper, we consider the It SDE where is a -dimensional standard Wiener process and the drift coefficient belongs to with and . In 2005, Krylov and Rockner (Probab Theory Relat Fields 131(2):154-196, 2005) proved that the above equation has a unique strong solution . Recently, it was shown by Fedrizzi and Flandoli (Stoch Anal Appl 31:708-736, 2013) that the solution is indeed a stochastic flow of homeomorphisms on . We prove in the present work that the Lebesgue measure is quasi-invariant under the flow X-t.
关键词	Stochastic differential equation Strong solution Flow of homeomorphisms Quasi-invariance Zvonkin-type transformation
DOI	10.1007/s10959-014-0554-z
语种	英语
资助项目	Key Laboratory of RCSDS ; CAS[2008DP173182] ; NSFC[11101407] ; AMSS[Y129161ZZ1]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000364962500019
出版者	SPRINGER/PLENUM PUBLISHERS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21274
专题	应用数学研究所
通讯作者	Luo, Dejun
作者单位	Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Luo, Dejun. Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift[J]. JOURNAL OF THEORETICAL PROBABILITY,2015,28(4):1743-1762.
APA	Luo, Dejun.(2015).Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift.JOURNAL OF THEORETICAL PROBABILITY,28(4),1743-1762.
MLA	Luo, Dejun."Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift".JOURNAL OF THEORETICAL PROBABILITY 28.4(2015):1743-1762.