Averaging along irregular curves and regularisation of ODEs
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DOI: 10.1016/j.spa.2016.02.002
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- Nualart, David & Ouknine, Youssef, 2002. "Regularization of differential equations by fractional noise," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 103-116, November.
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- Coffie, Emmanuel & Duedahl, Sindre & Proske, Frank, 2023. "Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut–Elworthy–Li formula for singular SDEs," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 156-195.
- David Baños & Salvador Ortiz-Latorre & Andrey Pilipenko & Frank Proske, 2022. "Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise," Journal of Theoretical Probability, Springer, vol. 35(2), pages 714-771, June.
- Fabian A. Harang & Chengcheng Ling, 2022. "Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 35(3), pages 1706-1735, September.
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- Bechtold, Florian & Hofmanová, Martina, 2023. "Weak solutions for singular multiplicative SDEs via regularization by noise," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 413-435.
- Altmeyer, Randolf, 2023. "Central limit theorems for discretized occupation time functionals," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 101-125.
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Keywords
Regularization by noise; Stochastic differential equation; Young integral; Fractional Brownian motion;All these keywords.
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