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math.PR2014
Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
David Banos, Torstein Nilssen
In this work we present a condition for the regularity, in both space and Malliavin sense, of strong solutions to SDEs driven by Brownian motion. We conjecture that this condition…
math.PR2014
Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explic…