Solution theory of fractional SDEs in complete subcritical regimes

Lucio Galeati; M\'at\'e Gerencs\'er

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Solution theory of fractional SDEs in complete subcritical regimes

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arxiv 2207.03475 v4 pith:FOOLGONV submitted 2022-07-07 math.PR math.AP

Lucio Galeati , Máté Gerencsér This is my paper · ORCID

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keywords solutionequationsexistencefractionalsdestheoryallowedarbitrarily

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abstract

We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that includes strong existence, path-by-path uniqueness, existence of a solution flow of diffeomorphisms, Malliavin differentiability and $\rho$-irregularity. As a consequence, we can also treat McKean-Vlasov, transport and continuity equations.

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