Stochastic flows and Derivative flows for SDE with irregular coefficients
Vortrag von Prof. Dr. Xue-Mei Li
Sprecher eingeladen von: Prof. Dr. Jean Bertoin
Datum: 11.12.13 Zeit: 17.15 - 18.15 Raum: ETH
We consider a SDE with the following properties: (1) elliptic but not strictly elliptic (2) The coefficients belong to a local Sobolev space, in particular unbounded. We prove that there is a global smooth stochastic flow that is in W^{1,p}_{loc} for sufficiently small time. This is a critical case for regularity of the solution with respect to the initial value. We also construct a solution to the `linearize SDE'. This is joint work with X. Chen.