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arxiv: 1509.01154 · v3 · pith:6FAO2VCOnew · submitted 2015-09-03 · 🧮 math.PR

Rough linear PDE's with discontinuous coefficients - existence of solutions via regularization by fractional Brownian motion

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keywords brownianfractionalmotiondiscontinuousexistencelinearsolutionsallow
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We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a regularizing effect on the equations in the sense that we can prove existence of solutions for almost all paths of the fractional Brownian motion.

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