Regularity of local times associated with Volterra–Lévy processes and path-wise regularization of stochastic differential equations
| dc.contributor.author | Harang, Fabian A. | |
| dc.contributor.author | Ling, Chengcheng | |
| dc.date.accessioned | 2022-10-04T09:44:31Z | |
| dc.date.available | 2022-10-04T09:44:31Z | |
| dc.date.issued | 2021-07-16 | |
| dc.description.abstract | We investigate the space-time regularity of the local time associated with Volterra–Lévy processes, including Volterra processes driven by α-stable processes for α∈(0,2]. We show that the spatial regularity of the local time for Volterra–Lévy process is P-a.s. inverse proportional to the singularity of the associated Volterra kernel. We apply our results to the investigation of path-wise regularizing effects obtained by perturbation of ordinary differential equations by a Volterra–Lévy process which has sufficiently regular local time. Following along the lines of Harang and Perkowski (2020), we show existence, uniqueness and differentiability of the flow associated with such equations. | en |
| dc.description.sponsorship | TU Berlin, Open-Access-Mittel – 2021 | en |
| dc.description.sponsorship | DFG, 317210226, SFB 1283: Unsicherheit beherrschen und Zufall sowie Unordnung nutzen in Analysis, Stochastik und deren Anwendungen | en |
| dc.identifier.eissn | 1572-9230 | |
| dc.identifier.issn | 0894-9840 | |
| dc.identifier.uri | https://depositonce.tu-berlin.de/handle/11303/17021 | |
| dc.identifier.uri | https://doi.org/10.14279/depositonce-15800 | |
| dc.language.iso | en | en |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | en |
| dc.subject.ddc | 510 Mathematik | de |
| dc.subject.other | stochastic differential equations | en |
| dc.subject.other | Lévy process | en |
| dc.subject.other | Volterra process | en |
| dc.subject.other | regularization by noise | en |
| dc.subject.other | occupation measure | en |
| dc.subject.other | local time | en |
| dc.subject.other | young integral | en |
| dc.subject.other | Stochastic Sewing Lemma | en |
| dc.title | Regularity of local times associated with Volterra–Lévy processes and path-wise regularization of stochastic differential equations | en |
| dc.type | Article | en |
| dc.type.version | publishedVersion | en |
| dcterms.bibliographicCitation.doi | 10.1007/s10959-021-01114-4 | en |
| dcterms.bibliographicCitation.journaltitle | Journal of Theoretical Probability | en |
| dcterms.bibliographicCitation.originalpublishername | Springer Nature | en |
| dcterms.bibliographicCitation.originalpublisherplace | Heidelberg | en |
| dcterms.bibliographicCitation.pageend | 1735 | |
| dcterms.bibliographicCitation.pagestart | 1706 | |
| dcterms.bibliographicCitation.volume | 35 | |
| tub.accessrights.dnb | free | en |
| tub.affiliation | Fak. 2 Mathematik und Naturwissenschaften::Inst. Mathematik::AG Stochastik und Finanzmathematik | de |
| tub.affiliation.faculty | Fak. 2 Mathematik und Naturwissenschaften | de |
| tub.affiliation.group | AG Stochastik und Finanzmathematik | de |
| tub.affiliation.institute | Inst. Mathematik | de |
| tub.publisher.universityorinstitution | Technische Universität Berlin | en |