Title :

The transport equation and zero quadratic variation processes

Author(s) :

Clarke de La Cerda, Jorge [Auteur]
Departamento de Matematica [Valparaiso]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Olivera, Christian [Auteur]
Instituto de Matemática, Estatística e Computação Científica [Brésil] [IMECC]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Journal title :

Discrete and Continuous Dynamical Systems - Series B

Publisher :

American Institute of Mathematical Sciences

Publication date :

2016

ISSN :

1531-3492

English keyword(s) :

method of characteristics
Malliavin calculus
fractional Brownian motion
Hermite process
zero quadratic variation process
existence of density
stochastic calculus via regulararization
Transport equation

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [en]

We analyze the transport equation driven by a zero quadratic variation process. Using the stochastic calculus via regularization and the Malliavin calculus techniques, we prove the existence, uniqueness and absolute ...
Show more >We analyze the transport equation driven by a zero quadratic variation process. Using the stochastic calculus via regularization and the Malliavin calculus techniques, we prove the existence, uniqueness and absolute continuity of the law of the solution. As an example, we discuss the case when the noise is a Hermite process.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL