Strong existence and uniqueness for stable stochastic differential equations with distributional drift
Date/Time:20 Feb 2019 15:00
Venue: S17 #04-06 SR1
Speaker: Siva Athreya, ISI Bangalore
Strong existence and uniqueness for stable stochastic differential equations with distributional drift
We consider the stochastic differential equation dX_t = b(X_t) dt + dL_t,where the drift b is a generalized function and L is a symmetric one dimensional alpha-stable Levy processes, alpha in (1, 2). We define the notion of solution to this equation and establish strong existence and uniqueness whenever b belongs to the Besov-Holder space C^\beta for beta > 1/2- alpha/2.
This is joint work with Oleg Butkovsky and Leonid Mytnik.
Add to calendar: 
