Differentiability of semigroups of stochastic differential equations with Hölder-continuous diffusion coefficients
نویسندگان
چکیده
Differentiability of semigroups is useful for many applications. Here we focus on stochastic differential equations whose diffusion coefficient the square root a differentiable function but not itself. For every $m\in\{0,1,2\}$ establish an upper bound $C^m$-norm semigroup such in terms $C^m$-norms drift and squared coefficient. The constants our are often dimension-independent. Our estimates thus suitable analyzing certain high-dimensional infinite-dimensional degenerate equations.
منابع مشابه
Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze L2 convergence of these methods and present convergence proofs. For scalar equations a second-order method is derived, and for systems a method of order one-and-one-half is derived. We further consider a variance reduction technique based on Hermite expansions f...
متن کاملAnticipated Backward Stochastic Differential Equations with Continuous Coefficients
In this paper we prove the existence of solutions to 1-dimensional anticipated backward stochastic differential equations with continuous coefficients. We also establish the existence of a minimal solution. Finally we derive a related comparison theorem for these minimal solutions.
متن کاملInfinite time interval backward stochastic differential equations with continuous coefficients
In this paper, we study the existence theorem for [Formula: see text] [Formula: see text] solutions to a class of 1-dimensional infinite time interval backward stochastic differential equations (BSDEs) under the conditions that the coefficients are continuous and have linear growths. We also obtain the existence of a minimal solution. Furthermore, we study the existence and uniqueness theorem f...
متن کاملStochastic differential equations with random coefficients
In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of th...
متن کاملApproximation of stochastic advection diffusion equations with finite difference scheme
In this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm Ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. We applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. The main properties of deterministic difference schemes,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ALEA-Latin American Journal of Probability and Mathematical Statistics
سال: 2021
ISSN: ['1980-0436']
DOI: https://doi.org/10.30757/alea.v18-14