David Ruiz Baños: On the regularity of densities of SDE's. A classical solution to the stochastic transport equation

David Ruiz Baños (University of Oslo) holder et seminar med tittelen: On the regularity of densities of SDE's. A classical solution to the stochastic transport equation

Abstract:

In this work we present a criterion for the regularity, in both space and Malliavin sense, of strong solutions to SDE’s driven by Brownian motion. As a consequence, we are able to improve the regularity of densities of such solutions. We conjecture that this criterion is optimal.

We also apply these results to construct a classical solution to the stochastic transport equation.

This is a joint work with Torstein Nilssen.

Published Jan. 27, 2014 4:18 PM - Last modified Jan. 27, 2014 4:18 PM